Posts Tagged: futures contract

 

1.  There was an unusually high number of significant position adjustments, which we have defined as a change of 10k of more contract in the gross position.   This increase in activity has been observed in the spot market as well. 

2.  The gross long euro position increased by 20.2k contracts to 79.6k.  This seems to be a case of bottom picking.  The net short position fell as a result of new longs entering the market rather than a bout of short covering.  The gross short position fell by 200 contracts to 216.7k. 

3.  The gross long yen position jumped by 20.3k contracts to 37.6k.  This was the principle cause of the decline in the net short position to 83.2k contracts from 101k.  The gross short position actually increased by 2.8k contracts to 120.8k.

4.  The gross long sterling position was cut by a 25.7k contracts to 55.6k.  The gross short position grew by 7.6k contracts.  This was sufficient to switch the net position to the short side (6.6k contracts) for the first time since last November. 

5.  The gross long Australian dollar position was culled by 17.7k contracts to 55.6k.  The gross short position increased by almost 1.5k contracts.  The net long position was essentially halved to 22.1k contracts (from 41.2k).

6.  The gross short Mexican peso position rose by almost 15k contracts to 47.4k.  The gross long position was trimmed by 1.6k to stand at 69.4k contracts.

7.  Speculators generally added to gross short currency futures positions, with the euro the main exception.  The adjustment to the gross long position were more mixed. 

8.  The net short US 10-year Treasury bond futures position fell to 6.8k contracts from 33.3k.  This was mostly a product of 23.2k gross short positions being covered.  The bulls added 3.3k contracts, which lifted the gross long position to 443.5k contracts. 


week ending Sept 16              Commitment of Traders 
 (speculative position in 000′s of contracts)  
 Net Prior Gross LongChangeGross Short Change
Euro-137.0-158.079.620.2216.7-0.2
Yen-83.2-101.037.620.3120.82.8
Sterling-6.626.755.6-25.762.27.6
Swiss Franc-11.4-13.812.93.024.30.6
C$7.511.637.33.929.88.0
A$22.141.255.6-17.733.41.4
Mexican Peso22.038.569.4-1.647.414.9

Lessons from Paul Tudor Jones

20 September 2014 - 15:50 pm
 

-Never play macho man with the market. Never over-trade relative to the equity in your account
-his first mentor has “steel hard emotional control”
-always liquidate half his position below new highs or lows
-after having 60-70% draw-down, he was so depressed he nearly quit. “Mr. Stupid, why risk everything on one trade? Why not make your life a pursuit of happiness rather than pain?”
-he then first decided to learn discipline and money management. Become disciplined and business-like about trading
-“Now I spend my day trying to make myself as happy and relaxed as I can be. If I have positions going against me, I get right out; if they are going for me, I keep them”
-Be quicker and more defensive. Always think about losing money as opposed to making money. He always has a mental stop. If it hits that number, he is out no matter what
-“Risk control is the most important thing in trading” Stop out at near 10% monthly draw-down. He never wants to lose 10% in a month

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6 Trading Behaviours For Traders

14 September 2014 - 16:21 pm
 

1) Fresh Ideas - I’ve yet to see a very successful trader utilize the common chart patterns and indicator functions on software (oscillators, trendline tools, etc.) as primary sources for trade ideas. Rather, they look at markets in fresh ways, interpreting shifts in supply and demand from the order book or from transacted volume; finding unique relationships among sectors and markets; uncovering historical trading patterns; etc. Looking at markets in creative ways helps provide them with a competitive edge.

2) Solid Execution - If they’re buying, they’re generally waiting for a pullback and taking advantage of weakness; if they’re selling, they patiently wait for a bounce to get a good price. On average, they don’t chase markets up or down, and they pick their price levels for entries and exits. They won’t lift a market offer if they feel there’s a reasonable opportunity to get filled on a bid.

3) Thoughtful Position Sizing - The successful traders aren’t trying to hit home runs, and they don’t double up after a losing period to try to make their money back. They trade smaller when they’re not seeing things well, and they become more aggressive when they see odds in their favor. They take reasonable levels of risk in each position to guard against scenarios in which one large loss can wipe out days worth of profits.

4) Maximizing Profits - The good traders don’t just come up with promising trade ideas; they have the conviction and fortitude to stick with those ideas. Many times, it’s leaving good trades early–not accumulating bad trades–that leads to mediocre trading results. Because successful traders understand their market edge and have demonstrated it through real trading, they have the confidence to let trades ride to their objectives.

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1.  There were two significant (10k+ contract change in gross positions) position adjustment in the CFTC reporting period ending September 9.  First, short-covering reduced the gross short yen position by 14.8k contracts to 118.0k.  The yen has continued to sell-off and new shorts were likely established since the reporting period ended.  Second, the bulls went shopping in sterling.  They extended the gross long position by 13.8k contracts to 81.3k.  It was the most buying in five months. It is also larger than the euro, yen and Swiss franc gross positions combined.   
2.   The other twelve gross currency positions we track were adjusted by less than 5k contracts.  Generally speaking, this reflected the position squaring in the sense that most of the currency futures (but the Swiss franc and the Australian dollar) saw a small reduction in gross short positions.  Outside of sterling that we discussed above, there was virtually now buying of the currency futures during the reporting period.  Combined the euro, yen, and Swiss franc saw an increase of 2.5k gross long contracts.  Gross longs were reduced in Canadian and Australian dollars and the Mexican peso.   The out-sized losses in these currencies in recent says suggests were longs have been liquidated.  
3.  Speculators in the US 10-year Treasury futures bought into the decline through September 9. During the week they added almost 58k long contracts for a gross position of 440.2k contracts.  The gross shorts edged a little higher.  The 8.4k contract increase brings the gross short position to 473.5k contracts.  The net short position fell to 33.3k contracts from 82.7k.   An important question is when will the longs capitulate?   We think that the yields are a little more than  half way to what may be a new equilibrium (~2.75%).  
week ending Sept 9              Commitment of Traders 
 (speculative position in 000′s of contracts)  
 Net Prior Gross LongChangeGross Short Change
Euro-158.0-161.059.40.0216.9-3.9
Yen-101.0-117.017.31.8118.0-14.8
Sterling26.79.481.313.854.6-3.5
Swiss Franc-13.8-13.29.90.723.71.3
C$11.69.233.4-1.921.8-4.4
A$41.249.073.3-3.732.14.1
Mexican Peso38.539.271.0-4.432.5-3.8
 

Inspired forecasting there as Brent currently trades 99.34 in Oct futures and 100 in the Nov contract.

  • Says prices fell on oversupply and weak demand
  • Sees higher Chinese demand in Q4
  • Libya crude and US shale pressured prices

Nawal Al Faziea spoke to reporters, via Bloomers

One thing to watch with oil prices is that if demand keeps falling then that may prompt OPEC to cut output. The rough, back of a fag packet, break even range for production, across all OPEC producers is around $95-110.

 
  • 2014 Brent price 106.00 vs 108.11 prior, 2015 103.00 vs $105.00 prior
  • 2014 WTI price 98.28 vs 100.45 prior, 2015 94.67 vs 96.08 prior
  • Cuts 2014 global oil demand to 1.04 mbpd vs 1.12 mbpd
  • 2014 non-OPEC supply 1.83mbpd vs 1.77 mbpd prior

With geopolitics waning the re risk premium is washing out of oil prices along with increased supplies and lower demand.

Both Brent and WTI are close to the mid-2013 lows and coming up on fairly strong support levels

 

1.  There were two significant position adjustments (10k contracts or more) in the CFTC reporting week ending Sept 2.  The first, gross short euro position increased by 16.2k contracts to 220.1k.  The record gross short position was set in June 2012 near 251k contracts.  The second, the gross short yen position increased by 10.4k contracts to 132.8k.  At the end of last year, they stood at 158k contracts.  The record was set in June 2007 near 237k contracts. 

2.  Nine of the 14 gross positions we track changed by less than 5k contracts.  Market interest is highly concentrated short euro and yen positions.  However, we note that the largest gross long positions are in the Australian dollar, with 77.1k long contracts in speculator hands, closely followed by the Mexican peso’s 75.2k contracts.

3.  With the exception of the Canadian and Australian dollar, speculators added to gross short positions. There was less of a clear pattern in the gross long positions.  The euro, Swiss franc, Australian dollar and Mexican peso saw gross longs increase. 

4.  After flipping to the long side for the first time in a year, the net speculative position in the 10-year futures contact swung back to the short side.  A combination of longs being cut by 35.6k contracts (to 382.4k) and 55k new short contracts (to 465.1k) saw the net position shift to almost 83k short contracts from just less than 8k long contracts the previous reporting period. 

week ending Sept 2              Commitment of Traders 
 (speculative position in 000′s of contracts)  
 Net Prior Gross LongChangeGross Short Change
Euro-161.0151.059.45.4220.116.2
Yen-117.0-103.015.5-4.0132.810.4
Sterling9.415.767.5-3.558.12.6
Swiss Franc-13.2-13.09.21.722.31.8
C$9.25.735.3-3.226.1-6.7
A$49.041.977.15.428.0-1.7
Mexican Peso39.236.775.43.836.31.3

Confidence in trading

05 September 2014 - 15:51 pm
 

The Oxford English Dictionary gives the definition of confidence as “The feeling or belief that one can have faith in or rely on someone or something”.

In relation to trading, confidence therefore is having:

  • the belief in your ability to succeed as a trader;
  • the belief that whatever method you use for selecting entries and exits will help generate a positive expectancy;
  • the patience to wait for the right opportunities to present themselves;
  • the discipline to follow your rules;
  • the ability to keep taking suitable signals, when your criteria is met, even when suffering a run of losses.

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SPECULATION-TRADING-BUBBLESTo pay tribute to one of its most famous graduates, Kenneth J. Arrow, Columbia University launched an annual lecture series dealing with topics to which Arrow made significant contributions—and there were many. Speculation, Trading, and Bubbles stems from the third lecture in the series given by José A. Scheinkman, with adapted transcripts of commentary by Patrick Bolton, Sanford J. Grossman, and Arrow himself. I’m going to confine myself here to a few excerpts that encapsulate some of the lecture’s key points, ignoring the often perceptive commentary.

Scheinkman offers a formal model of the economic foundations of stock market bubbles in an appendix to his lecture, but he lays out its basic ideas in the lecture proper. The model rests on two fundamental assumptions—“fluctuating heterogeneous beliefs among investors and the existence of an asymmetry between the cost of acquiring an asset and the cost of shorting that same asset. … Heterogeneous beliefs make possible the coexistence of optimists and pessimists in a market. The cost asymmetry between going long and going short on an asset implies that optimists’ views are expressed more fully than pessimists’ views in the market, and thus even when opinions are on average unbiased, prices are biased upwards. Finally, fluctuating beliefs give even the most optimistic the hope that, in the future, an even more optimistic buyer may appear. Thus a buyer would be willing to pay more than the discounted value she attributes to an asset’s future payoffs, because the ownership of the asset gives her the option to resell the asset to a future optimist.” (pp. 15-16)

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Three Important Lessons For Traders

31 August 2014 - 18:49 pm
 

1.No one Knows with 100% certainty whether the trade will be profitable or not 

2.No one knows how much money will be made or lost on a trade

3.If the Trader does not control the profit outcome and does not know with 100% which trades will work ,then a the trader should spend 100% percent of his time concentrating on the only element of the trade he can control-the  risk of the trade.

boywave

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Technically Yours,
Team ASR,
Baroda, India.