Latest CFTC Release Dated September 1, 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 is at 100, indicating a bullish sentiment extreme. Bullish sentiment extremes occur at tops so favor the downside.
Euro
EUR: The 13 week index is at 8. The index has been swinging wildly over the past several weeks The sentiment picture is not clear.
British Pound
GBP: The 13 week index is at 0, which indicates a bearish sentiment extreme. Favor the upside.
Australian Dollar
AUD: The 13 week index has turned from 100 and is now near 50 but price has failed to follow. The risk of a turn remains high according to the recent sentiment extreme (according to COT).
New Zealand Dollar
NZD: The 13 week index has turned from 100, suggesting a turn from a top in bullish sentiment. The implications are the same as for the AUD.
Japanese Yen
JPY: The 13 week index has increased to 83. There is no sentiment extreme.
Canadian Dollar
CAD: The 13 week index has turned from 100, which indicates a turn from a bullish sentiment extreme. The implications for CAD are the same as for the AUD and NZD.
Swiss Franc
CHF: The 13 week index has turned from 100, indicating a turn from a sentiment extreme. The implications are the same as for the AUD, NZD, and CHF.
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). 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
