Latest CFTC Release Dated December 24, 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 8 and the % of total speculative positions that are long measured through a 52 week percentile is at 98. A dollar bullish extreme has been registered as speculators are overwhelmingly bullish and hedgers are bearish. The USD should decline.
Signal: Bearish
EUR: 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 0. A Euro bearish extreme has been registered, indicating that recent Euro strength is likely just the beginning of a much bigger EURUSD rally.
Signal: Bullish
GBP: 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.
Signal: Forming a bottom
CHF: The % of total commercial positions that are long measured through a 52 week percentile is at 31 and the % of total speculative positions that are long measured through a 52 week percentile is 59. The 52 week COT index has turned over from 100, indicating that the CHF is likely to underperform.
Signal: Bearish
JPY: The % of total commercial positions that are long measured through a 52 week percentile is at 14 and the % of total speculative positions that are long measured through a 52 week percentile is at 82. 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 39 and the % of total speculative positions that are long measured through a 52 week percentile is at 39. The 13 week COT index is at 0, 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.
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 6. The 52 and 13 week COT indices are at 6 and 8. Readings this low indicate that an important low has likely formed.
Signal: Bullish
NZD: The % of total commercial positions that are long measured through a 52 week percentile is at 49 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 29 and 50. The indices are neutral at this point.
Signal: Neutral