Wednesday, 2 November 2011

Commitments of Traders - CFTC

Hi guys,

I'm bringing you something you may already knew. I've just reassembled the data through pivot table and chart so you can see time series in CoT development. If you don't know, american institutional investors have to provide information to the regulator about their open positions.

In this report, they're providing an information about all possible futures contracts that are tradable on american exchanges. I took only currencies that they're trading on CME through futures contracts.

In excel you have info sheet for more information, and first sheet for table and chart. You'll see that institutionals hold large short position in EUR and large long position in NZD (all currencies are against USD). Positions are in numbers of contract and one contract is 125.000 € for example.

There is one more interesting indicator along with long / short positions and that is open interest. Open interest is the total of all futures and/or option contracts entered into and not yet offset by a transaction, by delivery, by exercise, etc. The aggregate of all long open interest is equal to the aggregate of all short open interest.

So you see are orders on the exchange building up or reducing, which also indicates that there could be some action going on :-)

The price correlates with their positions mainly, I should have put the weekly price and draw it on tha charts also. I'm keeping the file open, so if somebody has interests - can make something better out of it.

Now it's not a rocket science, I know, but it may be helpful for having long term view, or knowing what really big boys are doing.

I hope you will find it helpful.

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