Daily Currency Futures and Open Interest Report

The report below shows levels of open interest in currency futures market. The data is based on Chicago Mercantile Exchange Daily Volume and Open Interest Report. Data provided by the report contains Open Interest from the previous trading day.

Date 01/02/2012

Total Open Interest 305,328

Net Marginal Change 2,215

Marginal Accumulation 178,272

Change in Total OI (%) 79.23

Yesterday futures traders added 2,215 new contracts. As mentioned, euro dropped only 4.5% in open interest since the correction. It is not sufficient enough to sustain the current breakout yet. Only 10-12% drop has a significant impact on prices. Euro, as expected declined today against dollar. Pair should range around the 1.30 area until a further drop in OI. Decline in OI will put an upwards pressure on the spot price by short covering. We have not seen this dynamic fully in play yet. Options ratio remains at 67% range in calls and growing. Strategy — buy on dips. We still expect more substantial correction towards 1.30-1.29 area before the trend resumes.

GBP FUTURES

Date 01/02/2012

Total Open Interest 190,849

Net Marginal Change -1,133

Marginal Accumulation -23,941

Change in Total OI (%) -12.7

The British Pound futures market dropped 1,133 contracts in yesterday session. Cable advanced even higher today against the dollar. GBP/USD is now trading above 1.58. This level has not been seen in the British pound market since 15th November 2011. Although there was no correction yet, the outlook remains bullish. We should see more new money coming into this market. GFS holds the long position in GBP/USD since 1.5360.

YEN FUTURES

Date 01/02/2012

Total Open Interest 172,967

Net Marginal Change 3,568

Marginal Accumulation 4,897

Change in Total OI (%) 2.91

Yen futures traders keep creating massive amount of new transactions in this forex market. Yesterday they added another 3,568. After massive 12% drop in open interest in yen futures, now traders are net positive. At this stage it is hard to say where we go from here. Based on the price action, this market remains dangerous and flat. Dangerous because the intervention and flat because has not moved from current levels. If one wanted to build on the speculative expectation of BOJ intervention, the strategy would be to buy support and sell the top of the spike. I would suggest waiting for the spike and selling the top. I think it is fear to say at this stage that BOJ has no control over its money. Every past treasury purchase to weaken the yen had no effect. Yen (despite irrationality) will remain the “safe heaven “for many. Consider that fundamental analysis favour yen strength over the long run. After correction, we might see even lower prices in USD/JPY in 2012.

FRANK FUTURES

Date 01/02/2012

Total Open Interest 40,836

Net Marginal Change -546

Marginal Accumulation 1,522

Change in Total OI (%) 3.76

Frank futures lost marginal 546 contracts. Our outlook on this market remains the same i.e. Sell USD/CHF on rallies. Bulls seem to dominate the market in forex Frank futures. As open interest stayed slow, it has added some of the new transactions. Strategy – buy on rallies. We anticipate much lower prices in USD/CHF in 2012.