Latest CFTC Release Dated July 18th, 2006:
· Yen Positioning Reaches Extreme Level
· AUD Positioning Nearing Extreme Level
US Dollar Index: USD index implied positioning has gone from extremely net short to more or less neutral over the past month and a half. This favors dollar strength over the longer term as the trend is in the dollars favor (demand for dollars). Both commercials and speculators are barely long of the actual index, with specs just flipping to long this past week.
EUR: Euro specs dumped euros last week after having been extremely long the prior week. Similarly, commercials bought back an inordinate amount of shorts. This is consistent with a longer term turn towards dollar strength. Open interest also fell a good deal, which confirms the possible shift in market sentiment scenario.
GBP: GBP futures positioning is little changed this week. Specs added to long positioins for the 3rd week in a row, which is consistent with GBP strength and positioning building towards exteme levels before a turn occurs.
CHF: CHF speculators more than doubled their short positions and commercials more than tripled their longs. The difference between speculators and commercials is building, but not yet extreme. If CHF weakness persists, then expect speculators and commercials to continue diverging as specs add to short positions and commercials add to long positions.
JPY: Yen speculators are short the largest amount of JPY (and commercials the longest amount of JPY) since the report week of 2/21/2006 when USD/JPY closed at 116.85. The pair ranged for a few weeks to form its top before falling to below 109.00 two and a half months later. We could see a similar scenario this time around.
CAD: CAD positioning is little changed. Extreme positioning two weeks ago when specs were long CAD appears to have marked the bottom in USD/CAD. As such, continue to look for specs to build short CAD positions. Open interest was down 9,563, which is somewhat disconcerting to CAD bears. We would like to see increased open interest to confirm the turn in USD/CAD.
AUD: Speculators added to long positions for the 4th week in a row and are now hold the largest amount of AUD since the report week of May 16th. Similarly, commercials are selling the currency in droves, anticipating a turn towards AUD weakness.
