Latest CFTC Release Dated January 23rd , 2007:
CAD Sentiment Bottoming: Price to Follow
The charts used to interpret the Commitment of Traders data now include both net positioning and the percentile indicator. The percentile indicator value is the current net positioning as a percentile when measured against the last 52 weeks. A 4 week moving average is applied to that number in order to smooth out the data. A reading above 90 indicates extreme bullishness and a reading below 0 extreme bearishness. Market turns occur at extreme levels of optimism and pessimism (bottoms at pessimism and tops at optimism). Therefore, readings below 10 on the percentile indicator give scope to bottom formation. Readings above 90 give scope to a topping formation.
US Dollar Index: Implied dollar positioning decreased slightly from 54,745 to 53,812 but the trend remains towards dollar buying as implied positioning is positive for the second week in a row. The percentile indicator is at 78, which is suggestive of a strong bull market.
EUR: Euro longs increased for the first time since 12/8/2006. The speculative community remains long 61,010 contracts. The percentile indicator continues to decrease and is now at 55. The percentile indicator decreased from above 90 two weeks ago, which indicates a reversal from extreme bullish sentiment.
GBP: Traders increased longs this week for the second week in a row. The percentile indicator is back above 90 a week after declining below the extreme level. Scope remains for a major reversal lower as the level of bullishness in the market is unprecedented.
CHF: CHF net speculative positioning remains negative as speculators continue to pile on shorts. Shorts increased this week from 42,248 to 44,081. The percentile indicator is in bearish territory now (below 50) at 27. Sentiment is not yet extreme, which suggests that the CHF downtrend could extend for some time.
JPY: Yen positioning continues to worsen. Speculators increased shorts for the 7th week in a row to set a new record for speculative short contracts (-164,860). Positioning is extreme (JPY bearish) as indicated by the percentile indicator, which is at 0. Only an improvement in positioning would begin to signal the possibility of a turn in the JPY.
CAD: CAD positioning actually improved for the second week in a row (albeit slightly). Sentiment is extremely CAD bearish as the percentile indicator is below 0. The improvement is sentiment the last two weeks could be the beginning of a bottoming in CAD sentiment and thus price (topping out in USDCAD).
AUD: Traders increased longs for the second week in a row but the percentile indicator decreased below 90 last week (giving a short signal which worked out well). The decline below 90 in the percentile indicator ultimately favors a continuation of the topping out process.