Latest CFTC Release Dated December 11, 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 10 and the % of total speculative positions that are long measured through a 52 week percentile is at 73. Speculators are buying dollars right now and hedgers are selling. The dollar will continue to gain until a short term bullish extreme is registered.
Signal: Bullish
EUR: The % of total commercial positions that are long measured through a 52 week percentile is at 94 and the % of total speculative positions that are long measured through a 52 week percentile is at 20. The 13 week COT index is at 0 and argues for a EUR low to form in the next week or two.
Signal: Bearish but very close to an important bottom
GBP: The % of total commercial positions that are long measured through a 52 week percentile is at 84 and the % of total speculative positions that are long measured through a 52 week percentile is at 6. Favor the downside until a bearish extreme is registered.
Signal: Bearish
CHF: The % of total commercial positions that are long measured through a 52 week percentile is at 22 and the % of total speculative positions that are long measured through a 52 week percentile is 78. The COT indices (52 week and 13 week) have turned from extremely bullish levels near 100, which indicates a high probability that the CHF is forming or has formed a significant high.
Signal: Bearish
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 94. Similar to the CHF, sentiment regarding the JPY has turned from a bullish extreme so continue to favor the downside.
Signal: Bearish
CAD: The % of total commercial positions that are long measured through a 52 week percentile is at 55 and the % of total speculative positions that are long measured through a 52 week percentile is at 49. The 13 week COT index is at 8 after having been at 0 last week, indicating that the CAD is likely near a short term bottom. However, the 52 week measure is trending down, indicating that the larger trend is down.
Signal: Bearish but a short term bottom may be in place
AUD: The % of total commercial positions that are long measured through a 52 week percentile is at 75 and the % of total speculative positions that are long measured through a 52 week percentile is at 82. The 52 and 13 week COT indices are at 24 and 33. Readings this low indicate that an important low may very well form in the next few weeks.
Signal: Bearish but forming a low
NZD: The % of total commercial positions that are long measured through a 52 week percentile is at 77 and the % of total speculative positions that are long measured through a 52 week percentile is at 24. The 52 and 13 week COT indices are at 24 and 33. The indices have turned up from bearish extremes, which is bullish for NZD.
Signal: Bullish