Latest CFTC Release Dated May 22nd , 2007:
Note:
The charts used to interpret the Commitment of Traders data now include both net positioning (12 week average in red) and the percentile indicator (blue). The percentile indicator value is a 4 week average of the current net positioning as a percentile when measured against the last 52 weeks. A reading above 90 indicates extreme bullishness and a reading below 10 indicates extreme bearishness. Market turns occur at extreme levels of optimism and pessimism (bottoms at pessimism and tops at optimism). Therefore, readings close to 100% and 0% indicate increased potential for a top / bottom. Speculative interest (this week?s percentile reading adjusted in order to fit between -100% and -100%) is plotted below for each currency.
US Dollar Index: Implied dollar short positioning fell signifcantly last week and implied positioning has flipped to positive. Big picture, positioning has increased from levels where the index has historically bottomed. A multi-month bottom may be in place at 81.25.
EUR: Euro net longs decreased significantly, falling from the record level of 119,538 to 95,287. As mentioned last week, recent action looks like a blowoff top, similar to the ones that occurred in December and May 2006. Last week?s large decrease in longs could signal the beginning of a change in sentiment towards the Euro. Notice that the percentile indicator has rolled over from above 90, which historically has preceded large declines.
GBP: Net longs continue to fall and positioning remains below its 12 week average. The percentile indicator has also declined below 50. A trend is towards GBP selling.
CHF: Speculators continue to sell CHF as net positioning is below its 12 week average (CHF bearish and USDCHF bullish). The Percentile indicator is falling as well. The trend is towards CHF selling will likely continue until a bearish extreme is reached (percentile indicator below 10).
JPY: Net short positions increased again last week. The trend remains towards JPY selling as positioning is below the 12 week average. However, JPY weakness is getting stretched. Short JPY positions are greater than the October 2006 level, when USDJPY topped just below 120. A week more of JPY weakness would potentially see JPY shorts increase to the February 2007 level. The probability of a reversal in the few two weeks is high.
CAD: Speculators continue to build longs in the CAD but positioning is now extreme to the long side as evidenced by the percentile indicator being above 90. Historically, the trend will continue for a few more weeks before the percentile indicator rolls over from above 90 and a top is in place. While the bulk of the CAD move is most likely over, it is unlikely that a significant (multi-month) low is in place at 1.0776.
AUD: Net long fell significantly last week. Positioning is below its 12 week average and the percentile indicator is pointed down, suggesting that the trend is towards AUD selling.