The report below shows levels of open interest in currency futures market. The data is based on CME Group Daily Volume and Open Interest Report. Data provided by the Cme Group report contains Open Interest from the previous trading day. Interpretation and analysis – GFS Team

Euro FX EUR/USD
Date 05/01/2012
Last extreme 31/10/2011
Total Open Interest 298,476
Net Marginal Change 5,241
Marginal Accumulation 171,420
Change in Total OI (%) 76.18

Traders added another substantial sum of 5241 of new contracts to Euro FX. Historical level of Open Interest in this market seems to be increasing every day. As of today we read 298,476 in total Open Interest. We shall see more decline in euro in coming sessions. Extreme high level might call for caution as current trend can reverse while there are no more new buyers left. It is interesting to see how this historical level of Open Interest will unwind.


GBP FUTURES GBP/USD
Date 05/01/2012
Last extreme 30/12/2011
Total Open Interest 195,154
Net Marginal Change 5,568
Marginal Accumulation 5,568
Change in Total OI (%) 2.8

Recent 8% decline in open interest is definitely a warning sign that the current trend is fading and we shall see a reversal in price action. Today we see new 5,568 transactions in cable futures. This might indicate the start of a new trend or a continuation of the open interest decline. If in the new trading session we experience more new transactions, we might anticipate upward pressure. Cable has been declining on dropping OI over the last three days; this is a clear sign of the reversal. We probably see the test of recent support to enter long positions. Look out for an update in FOREX TRADING SIGNALS


YEN FUTURES USD/JPY
Date 05/01/2012
Last extreme 27/12/2011
Total Open Interest 163,836
Net Marginal Change 709
Marginal Accumulation 34,334
Change in Total OI (%) 25.90

Traders added a small 709 new transaction in yen futures market. This is another confirmation of the current trend. We shall see further strength in yen prices.

SWISS FRANK FUTURES USD/CHF
Date 05/01/2012
Last extreme 11/01/2011
Total Open Interest 42,559
Net Marginal Change 2,942
Marginal Accumulation 43,024
Change in Total OI (%) 151.53

Another 2,942 new contracts added in today’s session. This is another confirmation of the current trend. As expected Swissy declined over 150 pips against the dollar in two recent days. Again, similar to euro and cable, Swissy added over 150% in Open Interest. If considered December’s rollover of 27333 contracts, this is also historically high level of interest in this market.

AUSTRALIAN DOLLAR FUTURES AUD/USD
Date 05/01/2012
Last extreme 19/12/2011
Total Open Interest 120,274
Net Marginal Change -1,063
Marginal Accumulation 17,614
Change in Total OI (%) 12.23

Slight drop of 1,063 contracts in Australian dollar futures market today. This shall not be a concern to revise the trend. Not yet. We assume that current bullish outlook remain intact.