Latest CFTC Release Dated August 18, 2009:
The COT Index is the percentile of the difference between net speculative positioning and net commercial positioning measured over a specific number of weeks (either 52 or 13). 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. 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.
US Dollar
US Dollar Index: The 13 week index has increased from 0, indicating a turn from a bearish sentiment extreme. Sentiment extremes occur at bottoms so favor the upside
Euro
EUR: The 13 week index has turned from 100, but is now at 0 for the first time since the March low, which is usually bullish. The sentiment picture is not clear.
British Pound
GBP: The 13 week index has turned from 100, which indicates a turn from a bullish sentiment extreme. Favor the downside.
Australian Dollar
AUD:
The 13 week index has turned from 100, suggesting a turn from a top in bullish sentiment.
New Zealand Dollar
NZD: The 13 week index has turned from 100, suggesting a turn from a top in bullish sentiment.
Japanese Yen
JPY: The 13 week index has dropped from 100 to 42 in the past 3 weeks. Previously bearish (USDJPY bullish) due to the sentiment extreme as indicated by 100, sentiment conditions are now neutral.
Canadian Dollar
CAD: The 13 week index has turned from 100, which indicates a turn from a bullish sentiment extreme. Favor the downside (upside in USDCAD).
Swiss Franc
CHF: The 13 week index has turned from 100, but is now at 0, which is usually bullish. The sentiment picture is not clear.
Jamie Saettele publishes Daily Technicals every weekday morning (930 am EST), COT analysis (published Monday mornings), technical analysis of currency crosses throughout the week (EUR on Tuesday, JPY on Wednesday) and the DFX Trend Index every day after the NY close. He is also the author of Sentiment in the Forex Market. Follow his intraday market commentary at DailyFX Forex Stream. Contact Jamie at jsaettele@dailyfx.com
DailyFX provides forex news and technical analysis on the trends that influence the global currency markets.
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