Commitment of Traders

Every Friday the US Commodity Futures Trading Commission publishes the positions held by traders in US futures markets as of the previous Tuesday. For currencies that means the CME's currency futures, plus the ICE Dollar Index. It is the closest thing to a public register of what large speculative money is doing in FX.

Non-commercial positions are the ones shown here: large speculators, in practice hedge funds and managed money, who are in the market to profit from direction rather than to hedge a business. Commercials are hedgers and usually sit on the other side. Net is simply long minus short, measured in contracts.

Why the three-year range matters more than the raw number. Contract sizes and open interest differ between currencies, so 40,000 contracts does not mean the same thing for the Swiss franc as for the euro. Worse, some currencies sit permanently on one side — funds have been net short the franc for the whole of the last three years, so "net short" on its own says nothing. What matters is whether the position is stretched relative to its own history, which is what the range bar shows.

The dollar is a special case. There is no US dollar currency future, so the ICE Dollar Index is used as the standard proxy for speculative dollar positioning. Its contract is a different size from the others, so compare its range position rather than its raw net.

Its limitation is lag. The snapshot is taken on Tuesday and published on Friday, so it is always at least three days stale and can be much staler after a holiday. It describes where positioning was, not where it is. That is exactly why it is worth reading next to retail sentiment, which updates every five minutes: one is slow and institutional, the other is fast and crowded.

Source: CFTC Legacy Futures-Only report, published weekly and used here unmodified. Figures are refreshed daily so that revisions are picked up.