CFTC Weekly Options Update: Total Treasury Spec Longs Surge By 40% To 2010 Record, Dollar Inflection Point Reached?

Tyler Durden's picture Submitted by Tyler Durden on 10/23/2010 13:43 -0500

Across the CurveCommitment of TradersCommodity Futures Trading CommissionMomoMorgan Stanley

This week’s CFTC Commitment of Traders confirms that market momentum schizophrenia is persisting: in the past week Treasury net non-commercial spec long positions across the curve (2s, 5s and 10s) surged from 221k to 311k, a 41% increase. In other words the momo crowd is betting the farm that treasury prices not only won’t stop going higher, but that the entire curve with be transposed lower with a slight preference for the belly (as Morgan Stanley now expects). The Combined total is more than half a million contracts compared to early April when the 10 year was threatening to break out of the 4% range (dashed line Chart 1). Yet this is in contradiction to the options activity within selected commodities, which after taking a slight breathers have continued to see increasing spec demand to the upside (Chart 2). Lastly, and probably most importantly, looking at currencies shows that the unprecedented surge in bearish bets in the dollar may be over: for the first time since the end of August, dollar net spec bets have actually gotten marginally bullish.

Treasury CFTC COT:

Commodity CFTC COT:

Currency CFTC COT:

Additionally, courtesy of Libanman futures, here are the traditional and financial CFTC reports in visual format:



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by MarketTruth
on Sat, 10/23/2010 – 13:55

Treasury bubble bitchez!!!

Login or register to post comments by russki standart
on Sat, 10/23/2010 – 14:24

Bullish on the US dollar? Hmmmm…. for me the only question is which currency will drop the quickest relative to gold. All fiat currencies are ultimately trashed by their respective governments. This is a iron rule of political economy.

Login or register to post comments by Miles Kendig
on Sat, 10/23/2010 – 17:19

Political economy?

All politics is an expression of the convergence of financial & governing imperatives.  Determined primarily by the winners and to a lesser extent the losers seeking protection via the government from the rigors of predation and the self actualization of their status as losers.

Login or register to post comments by jeff montanye
on Sat, 10/23/2010 – 23:47

i’m going to go with to a far lesser extent by the losers at this point.  some intermediate trades are worth taking. perhaps treasuries will make a double top, like stocks before them. some signs are suggestive.  yields to bottom in late january, a little later than ’08 because of the election and the fed’s preparation.  gold should retrace but as the stock operator was told “but then i would lose my position and this is a bull market.”

Login or register to post comments by trader
on Sat, 10/23/2010 – 14:26

about time…this dollar-negative ride is a little over extended.

just took my money off the table on friday.

dollar going up at least in the short term

Login or register to post comments by Spitzer
on Sat, 10/23/2010 – 14:41

 The article indicates the crowd is long dollars.

Dollar down, its in 3rd place on the futures shit list and the spread between gold and the dollar is as far as its been in a while.


Login or register to post comments by vote_libertaria…
on Sat, 10/23/2010 – 14:39

So people are betting long Treasuries will go higher?


I’m not betting money on it but the 30 yr may have started to finally weaken a little.  If it crosses a 4.00% yield it may trigger some ‘lock in gains’ sell orders….which may quickly lead to ‘OH MY GOD GET ME OUT OF THIS’ sell oreders.

Login or register to post comments by DosZap
on Sat, 10/23/2010 – 15:44

Vampire Move……………

Stake out the sacrifice, wait, bring em all in, and then WHAM!.

The bottom falls OUT.

Login or register to post comments by breezer1
on Sat, 10/23/2010 – 15:44

harvey organ reports.

Login or register to post comments by TheMonetaryRed
on Sat, 10/23/2010 – 16:34

Dear World, 

Currencies will now converge.

Treasuries will go higher. 

Commodities are fun. 


That is all, 

Team Atari


P.S. – All your message traffic are belong to us. 

Login or register to post comments by treemagnet
on Sat, 10/23/2010 – 17:30

Life is like a box of chocolates….momma always knew how to explain things so I could understand them better……

Will someone explain to me why the Euro hasn’t tanked?  I mean, the emporer is wearing no clothes and this thing is like what…$1.40 or something?  WTF…okay, now I’ll just listen – just remember to speak slowly and use little words (lizard brain and all…).

Login or register to post comments by Orly
on Sat, 10/23/2010 – 22:25

One can never be certain but she can have an idea:

When the crisis began to unfold, the USD ramped against all the major currencies because there was a flight-to-safety in the investment world.  The Pound  tanked, as did the Euro.  The Federal Reserve has openly admitted to trading dollars for their currency of about a half-trillion dollars on the surface.  The background support, of course, is probably much higher.

The Brits did their stress tests, as did the Europeans, as theatre and flurry-making on-stage while backstage, the USD made generational lows against the Swiss Franc and Japanese yen.  It would not surprise to me learn that the dollars that were swapped to support the EUR and GBP have been traded out for higher-returning currencies so, that as the USD tanked, their positions made money.  We know their positions in equities have made money, too.

The Euro has stabilised, as has the Pound, so here we are.  The usefulness of this generational and all-time lows of the USD has run its course now.  Witness Merkel telling off Bernanke, chiding him, even, about printing money this weekend.  In essence, what she is saying is, “Okay.  Thanks for the lift, you guys.  I think we’re going to be okay now.”  Wink, wink, nudge, nudge.

Hence, talk of a stronger Euro, the POMO-inspired ramp job in the SPX, the finger-waving at the United States and their inflationary policies.  Now, the Euro is ready to walk again and the support has been lifted, it is no longer necessary for the USD to be weak.  Therefore, the situation can reverse.  The Europeans and Brits greatly benefitted from the weaker USD, so don’t let them fool you and don’t listen to what they say.  Instead, watch what they do.

However, the fact remains that dollar strength is now free to return closer to the mean, meaning that giant moves to the upside from here can be expected.

Why am I saying that the situation is about to reverse?  Basically, I do charts.  Nothing fancy, just a lot of surmising, and it seems that the lows of the USD, particularly against the Swiss Franc has indeed turned.  The CHFJPY pair has been interesting to watch over the past couple of weeks.  In general, the pair would track the SPX nearly identically, as most pairs have come to either mirror or mimic the SPX (simplest measure of risk appetite…) in some way.

About a week ago, though, this relationship began to break down.  While the general trend of the pair followed the SPX (with the yen filling the role as “risk” asset…), the rises were weak and uninspired, while the drops were full, thick, deliberate candles to the downside.  I am getting the sense that there has been some major, major selling from positions long the Swissie.  Perhaps it was a run-up agreement to the G-20, something going on between central banks.  Who knows?

The USDCHF pair also turned last week.  I expect that EURCHF, after having risen off its lows from about six weeks ago, will have a consolidation week this week, then ramp the week after.  Then again, it may forego the consolidatory phase and ramp straight up. The upside move could take your head off if you’re short.

The first level for the EURCHF to reach would be the 23% Fibonacci level at 1.39.  If the pair can break through convincingly to the uspide, the 38% Fibolevel could be reached easily at the 1.44 area.

The USDCHF pair could be headed for 1.04.

The CHFJPY pair, on the other hand, “Now there’s a daisy.”  This one is going to be vicious to trade going forward.  Like a bucking bronco, you had better hold on.  For the nimble, the coming moves can really add some pips to your account but if you’re sluggish or late, you could be in a world of pain.  Chop doesn’t begin to describe the possibilities in this currency pair.  The chart gives new definition to the word whipsaw.  Should be a load of fun!

Hope this helps.  😀


Login or register to post comments by unum mountaineer
on Sat, 10/23/2010 – 22:58

interesting..what’s your take of USD dollar after hours on Friday then? scorned lover are the wink wink tell/signal that thigns are a changin?

Login or register to post comments by Orly
on Sat, 10/23/2010 – 23:18

I have no idea.  At first, I thought it was a bad tick, one that someone missed a decimal place or something and it would be ignored by the system.  But Tyler says that Bloomberg has actual trades having taken place…after hours in 4X.  Other people report that their relevant trades have been cancelled.  So, it must have been real, after all.

Apparently, there was some goof-up at a futures/options exchange in some really illiquid dollar-based options.  Overall, it sounds harmless, though it is quite suspicious.

I hope we get more news on what happened.

And by the way, a more careful look at the charts in question involved the Euro; the EURUSD and the EURCHF.  The EURUSD pair dropped, meaning that the charts were displaying dollar strength, not weakness.

Login or register to post comments by Herd Redirectio…
on Sat, 10/23/2010 – 18:00

Dollar is going up, well, thats a relative statement ain’t it.  Relative to gold?  Relative to the longterm, not the next few days?

This is basically “QE2 For sure” Crowd, AKA “the in-crowd”

Login or register to post comments by hamurobby
on Sat, 10/23/2010 – 23:50

All currencies are down relative to gold, they are all weaker but are trading against each other in the fx. They will remain in their relative ranges to each other, but continue to loose ground to commodities.

Login or register to post comments by f16hoser
on Sat, 10/23/2010 – 18:19

How does a strong dollar fix the economy again? I missed that part. FED/Treasury out of sinc. All that mortgage debt, GOVT debt, how does that work with a stronger dollar? Boy, Geithner sure is a smart mutha fucka.


Hoser / Power to the people Marty

Login or register to post comments by unum mountaineer
on Sat, 10/23/2010 – 23:08

tell me about it..have a drink..dont know about that economy shit..but it makes me feel all warm inside..cheers

Login or register to post comments by lawrence1
on Sat, 10/23/2010 – 19:48

Treemagnet…. Gold constitutes around 60% of Euro reserves.  See fofoa for a thorough discussion of this.  There is serious doubt that the US has the gold reserves it claims, and, even if it does, whatever it does have may be encumbered.  Why the US refusal to audit its gold reserves? 

Login or register to post comments by Ludwig Van
on Sat, 10/23/2010 – 21:35


Keep in mind the 261 million oz. the U.S. is supposed to have was last audited ~1953 — more than a decade before DeGaulle made the depleting run for it that would eventually press Nixon to shut down dollar-gold convertability… the end of Bretton-Woods.

There’s no consquential amount of gold in official coffers.


Login or register to post comments by unum mountaineer
on Sat, 10/23/2010 – 23:07

ah, central narcassitic as ever…oh well, let’s see what’s like the young and the restless, or as the world turns with FX..brazil picks up its toys and goes home..timmay is a viewed as a dick by all, germans a model for fiscal discipline, china running the table, iran talking about gold holdings. when the koombayah scene is over, its back to business of seeing who can piss trail the furthest..found some konig pilsner a few blocks away..its the shiznit!! cheers..



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