Latest CFTC Release Dated December 31, 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.
[B]Explanation of Charts:[/B]
[B]Commercial % Long (RED):[/B] # 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
[B]Speculative % Long (RED):[/B] # 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
[B]52 Week COT Index (BLUE):[/B] see description just below the COT Index table
[B]13 Week COT Index (BLUE):[/B] see description just below the COT Index table
[B]US Dollar Index: [/B]The % of total commercial positions that are long measured through a 52 week percentile is at 12 and the % of total speculative positions that are long measured through a 52 week percentile is at 88. The 52 week COT index has rolled over from 100 and is at 86. We wrote last week that “a dollar bullish extreme has been registered as speculators are overwhelmingly bullish and hedgers are bearish. The USD should decline.” There is no change to that outlook.
[B]Signal: [/B]Bearish
[B]EUR: [/B]The % of total commercial positions that are long measured through a 52 week percentile is at 88 and the % of total speculative positions that are long measured through a 52 week percentile is at 4. The 52 week index appears to have bottomed at 0 and had turned up and is now at 4. Conditions are now bullish for the Euro.
[B]Signal: [/B]Bullish
[B]GBP[/B]: The % of total commercial positions that are long measured through a 52 week percentile is at 98 and the % of total speculative positions that are long measured through a 52 week percentile is at 0. The sentiment backdrop is the same as the of the Euro so expect a bottom and reversal in the next week or two.
[B]Signal: [/B]Forming a bottom
[B]CHF:[/B] 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 71. The most recent extreme registered on the 52 week index was a bullish one but the most recent extreme registered on the 13 week index was a bearish one. With momentum towards CHF strength intact, remain bullish on CHF until further notice (bearish USDCHF).
[B]Signal: [/B]Bullish
[B]JPY: [/B] The % of total commercial positions that are long measured through a 52 week percentile is at 20 and the % of total speculative positions that are long measured through a 52 week percentile is at 78. Similar to the CHF, sentiment regarding the JPY has turned from a bullish extreme so continue to favor the downside.
[B]Signal: [/B]Bearish
[B]CAD: [/B]The % of total commercial positions that are long measured through a 52 week percentile is at 35 and the % of total speculative positions that are long measured through a 52 week percentile is at 51. The 13 week COT index has turned up from 0 and is now at 25, indicating that the CAD is likely to gain near term. However, the 52 week measure is trending down, indicating that the larger trend is down.
[B]Signal: [/B]Bullish
[B]AUD:[/B] 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 20. The 52 and 13 week COT indices are at 8 and 17. All indicators are turning from close to bearish extremes, so favor the upside.
[B]Signal: [/B]Bullish
[B]NZD:[/B] 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 at 31. The 52 and 13 week COT indices are at 43 and 67. The indices remain neutral at this point.
[B]Signal: [/B]Neutral