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 09/01/2012
Last extreme 31/10/2011
Total Open Interest 293,406
Net Marginal Change -5,070
Marginal Accumulation 166,350
Change in Total OI (%) 73.93




In Friday’s futures trading Open Interest declined by substantial 5,070 contracts. This is the first decline of this size since 12th December. We do not anticipate any changes yet. Only 7-12% drop in OI will indicate that the current trend in euro is fading. Overall given the historically highy OI in this market and bullish sentiment from the commercial traders, we expect EUR/USD to gain some upward momentum any time. Look out for an update at trading signal section.


GBP FUTURES GBP/USD
Date 09/01/2012
Last extreme 30/12/2011
Total Open Interest 201,482
Net Marginal Change 6,328
Marginal Accumulation 11,896
Change in Total OI (%) 6.1



Cable added 6,328 new transactions on Friday. This is a second positive day in this market after 8% decline. Given that GBP/USD reached expected support, we now enter new long position. Please see an update at FOREX TRADING SIGNALS


YEN FUTURES USD/JPY
Date 09/01/2012
Last extreme 27/12/2011
Total Open Interest 165,994
Net Marginal Change 2,158
Marginal Accumulation 36,492
Change in Total OI (%) 26.19



Another positive day on Friday for The Japanese Yen future Open Interest. Traders favoured this market adding 2,158 transactions. This is another day with positive interest confirming the current trend.

SWISS FRANK FUTURES USD/CHF
Date 09/01/2012
Last extreme 11/01/2011
Total Open Interest 41,983
Net Marginal Change -576
Marginal Accumulation 42,448
Change in Total OI (%) 149.50



We saw a slight drop in open interest in Swiss franc futures on Friday’s session. The drop of 576 transactions is not a significant yet. We note few days over the last two week of trading with a similar drop. This has not affected the current trend. Prices in USD/CHF dropped slightly in today’s trading. Given the correlation of USD/CHF and EUR/USD this might be a beginning of the trend reversal. We need more substantial decrease in OI to question the current trend.

AUSTRALIAN DOLLAR FUTURES AUD/USD
Date 09/01/2012
Last extreme 19/12/2011
Total Open Interest 120,907
Net Marginal Change 633
Marginal Accumulation 18,247
Change in Total OI (%) 12.67



Traders added another 633 new transaction in Australian dollar futures market on Friday. We assume that current bullish outlook remain intact.