Four reasons to be wary of the CFTC currency positioning data

Author: Eamonn Sheridan | Category: Education

Each week the U.S. Commodity Futures Trading Commission (CFTC) issues its 'Commitments of Traders' report

  • Its published Friday afternoon US time
  • It covers futures positioning up until the Tuesday prior to the Friday
Thus, the most recent report issued Friday 15 September is for positioning as of Tuesday 12 September. This won't be news to you if you've been around a while, but if you are new to markets it might be.

In their weekly piece on the Commitments of Traders, ANZ highlight 3 further points (the first of the "4" I stuck in the headline to the piece is a more general warning I post from time-to-time) to be wary of specific to this most recent report:
  • The CFTC cut-off date was prior to the stronger than expected US CPI print and hawkish comments from Bank of England policymakers. This week's FOMC meeting will have a large influence on near-term positioning.
Good points.

OK, moving on, ANZ on the highlights (bolding mine):
  • The previous week's USD buying proved to be short lived, as leveraged funds resumed selling the greenback again in the week ending 12 September.
  • Overall net short USD positions rose by USD1bn to USD7.5bn
  • Dollar selling was largely concentrated against the yen
  • GBP saw only marginal buying of USD0.1bn in the week ... However, sharp price action post the cut-off date on expectations of a November rate hike by the Bank of England (BoE) could see further reduction in net shorts in the coming weeks.
  • CHF also saw marginal buying in the week
  • All other major currencies saw net selling, led by the euro
  • AUD net longs were reduced by USD0.2bn to USD6.6bn, though this was before the release of strong August jobs numbers
  • Meanwhile, net long NZD positions were pared for a sixth consecutive week, by a further USD0.3bn to take overall net long positions to USD0.7bn. Uncertainty over the outcome of the 23 September general election is weighing on the NZD
  • The CAD also saw a reduction of net longs by USD0.1bn to USD3.6bn
  • Net long gold contracts rose for the ninth straight week on safe-haven demand
  • Net longs in 10-year USTs rose even as yields moved up
  • Net long crude contracts fell despite a pick-up in crude oil prices

And ... going through that from ANZ, I reckon I could add (at least) another 2 reasons to my list of 4 (Aussie jobs report, NZ election).
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