COT Data Suggests CHF Is Set to Weaken

Latest CFTC Release Dated November 6, 2007:


The COT Index is the percentile of the difference between net speculative positioning and net commercial positioning measured over the last 52 weeks. A reading close to 0 suggests that a bottom is forming and a reading close to 100 suggests that a top is forming. The readings are for the actual currency, not the currency pair. For example, a reading of 100 on the Canadian Dollar suggests that the Canadian Dollar is close to a top (USDCAD close to a bottom).
Readings of 95 and higher as well as 5 and lower are in boldfaced red type to indicate potential market extremes. The last 4 weeks of the COT Index are shown because it is just as important to know where the index is coming from. For example, an increasing index is bullish until the index is extreme (near 100), at which time the risk of a reversal or pause in the trend increases.
Explanation of Charts:
Commercial % Long (RED): # COMMERCIAL LONG CONTRACTS / (TOTAL # COMMERCIAL CONTRACTS) and measured with a 52 week percentile…commercials are very long at the bottom and very short at the top
Speculative % Long (RED): # SPECULATIVE LONG CONTRACTS / (TOTAL # SPECULATIVE CONTRACTS) and measured with a 52 week percentile …speculators are very long at the top and very short at the bottom
52 Week COT Index (BLUE): see description just below the COT Index table
13 Week COT Index (BLUE): see description just below the COT Index table


US Dollar Index: The % of total commercial positions that are long measured through a 52 week percentile is at 29 and the % of total speculative positions that are long measured through a 52 week percentile is at 39. With both groups remaining neutral, the bias is for the weak dollar trend to continue.


EUR: The % of total commercial positions that are long measured through a 52 week percentile is at 80 and the % of total speculative positions that are long measured through a 52 week percentile is at 20. Positioning continues to favor euro gains until both groups are extreme.


GBP: The % of total commercial positions that are long measured through a 52 week percentile is at 69 and the % of total speculative positions that are long measured through a 52 week percentile is at 55. Both groups are neutral. Until both are extreme, there is no reason to expect a turn.


CHF: The % of total commercial positions that are long measured through a 52 week percentile is at 8 and the % of total speculative positions that are long measured through a 52 week percentile is at 88. Both groups indicate that the CHF is reaching a ceiling and is set to weaken (bullish for USDCHF). The 52 week COT Index is at 92 (extreme) and supports this view.


JPY: The % of total commercial positions that are long measured through a 52 week percentile is at 8 and the % of total speculative positions that are long measured through a 52 week percentile is at 88. Both groups recently turned from bullish extremes, therefore positioning is Yen bearish. The 52 week COT Index is at 90, which also favors Yen weakness (keep in mind that markets can remain extreme for some time though.)


CAD: The % of total commercial positions that are long measured through a 52 week percentile is at 24 and the % of total speculative positions that are long measured through a 52 week percentile is at 90. The groups were more extreme last week. The turn from a sentiment extreme favors additional CAD weakness.


AUD: The % of total commercial positions that are long measured through a 52 week percentile is at 51 and the % of total speculative positions that are long measured through a 52 week percentile is at 35. Both groups are neutral. Until both are extreme, there is no reason to expect a turn.