FX Positioning — CFTC COT Monitor

About the positioning monitor

Questions

There is no GBPAUD futures contract. Where does its positioning come from?

From the GBP and AUD contracts, which the CFTC does report. Each leg's net position is converted to US dollars — contracts multiplied by the CME contract size and by the daily close on or before that report date — and the quote leg is subtracted from the base leg. The seven dollar pairs are the reported contracts re-expressed and are labelled observed; the 21 crosses are inferred and are labelled implied. The number is a differential rather than the size of a carveable cross position, which is why a book long one billion dollars of euro against one billion short of Australian dollar reads as two billion. That convention moves no z-score — a z is scale-invariant — only the headline dollar figure.

Why is USDJPY no longer drawn upside down?

Because the position is now in pair convention too. The currency view scores the yen contract, and a rising USDJPY means the yen weakened — so that view inverts the axis to keep “up” meaning “stronger”. In the pair view a positive differential is net long the dollar against the yen, which rises exactly when USDJPY rises. Both panes point the same way and nothing is inverted anywhere.

Why does the leg z-spread disagree with the pair's own z-score?

Two reasons, and the panel under the chart shows both. Each leg is scored on its net position in contracts against that contract's own history — the identical number the by-currency view publishes — while the pair is scored on the dollar differential. Different quantities, different sigmas. And the spread of two z-scores whose legs correlate ρ has a standard deviation of √(2(1−ρ)) rather than 1, so it is not itself a z-score. The correlation is published beside the spread so that is arithmetic you can check rather than a claim you have to take.

Why does my terminal show a different z-score for the same currency?

Almost always the window. A terminal's Z-Score(90) on a weekly series normalises against 90w (1.7y) of reports; our default normalises against 13w (3m). Same series, same latest position, two different means and standard deviations, two different sigmas — and both are correct measurements of different things. Select 90w in the z-window row to reproduce the 90w reading. Any small residual left is the standard-deviation convention: we use the sample standard deviation, dividing by n−1. The working is printed under the z pane so the arithmetic can be checked directly rather than taken on trust.

What is the difference between the history selector and the z-window selector?

The history selector is the x-axis: it decides whether you see six months of reports or twenty years, and never changes a number. The z-window selector is the arithmetic: it decides how many prior reports form the mean and standard deviation the position is measured against, so it recomputes the z-score everywhere on the chart. Neither refetches — the whole record arrives with every window pre-computed.

Which trader category is this, and what does the spot line represent?

Whichever you select: leveraged funds (the hedge-fund and CTA book) or asset managers (institutional real money), long contracts minus short in each case. The spot line is the daily close on or before each CFTC report date, so every point on both panes shares one date and no price from after a report is ever shown against it. Where a currency is the quote leg of its market-convention pair — USDJPY, USDMXN — the spot axis is inverted, so a rising line always means that currency strengthened.

Why is a z-score sometimes blank?

Because the window has not opened yet. A 156w window needs 156 weekly reports before the first point can be scored; earlier points on the chart show an em-dash rather than a partial window relabelled as full. A shorter window is never substituted for a longer one.

What is the CFTC COT report?

The Commitments of Traders report is published weekly by the US Commodity Futures Trading Commission. The Traders in Financial Futures variant breaks currency futures positions down by trader type — dealers, asset managers, leveraged funds and others. The report date is a Tuesday and the file is published the following Friday at 15:30 Eastern, so positioning is always three to five days behind the price it is plotted against.

Positioning from the CFTC Traders in Financial Futures report — free weekly data. The spot overlay uses FRED daily closes matched to each CFTC report date.