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. Interpretation and analysis – GFS Team

Euro FX EUR/USD

Date 10/01/2012
Last extreme 06/01/2011
Total Open Interest 290,436
Net Marginal Change -2,970
Marginal Accumulation -8,040
Change in Total OI (%) -2.74

On Monday we experience a second day with dropping open interest in euro futures market. The last two days in the row of falling OI were on 14th Nov. This could be a sign of trend’s weakening.
Although the accumulation of the fall accounts only for 2.74% for the moment. We should see at least 8-12% of the drop to consider long positions in this market. The last major accumulation in Open Interest risen 76% since the top 1.42 (01th Nov 2011). This huge accumulation should unfold soon and result in trend reversal.
Our med/long term on euro is bullish. We expect euro to gain substantially in coming weeks/months.
Look out for an update at trading signal section.


GBP FUTURES GBP/USD

Date 10/01/2012
Last extreme 30/12/2011
Total Open Interest 203,303
Net Marginal Change 1,821
Marginal Accumulation 13,717
Change in Total OI (%) 7.0

Cable added 1,821 new transactions on Monday. This is third day of new positive OI. It now stands for 7% of new transactions. We should see more upside in British pound futures prices.


YEN FUTURES USD/JPY

Date 10/01/2012
Last extreme 27/12/2011
Total Open Interest 164,713
Net Marginal Change -1,281
Marginal Accumulation 35,211
Change in Total OI (%) 26.56

On Monday we notice a slight drop in Open Interest in yen futures market. The decrease of 1,281 contracts shall not be a reason for a concern. The current trend remains intact for now. We are still holding short usd/jpy position which is well in money right now.

FRANK FUTURES USD/CHF

Date 10/01/2012
Last extreme 11/01/2011
Total Open Interest 41,726
Net Marginal Change -257
Marginal Accumulation 42,191
Change in Total OI (%) 148.60

We saw a slight drop in open interest in Swiss franc futures on Monday again.. The drop of 257 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. Although we notice that the magnitude of marginal increase in OI is fading. Prices in USD/CHF dropped slightly in today’s trading again. 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.

AUD FUTURES AUD/USD

Date 10/01/2012
Last extreme 19/12/2011
Total Open Interest 121,517
Net Marginal Change 610
Marginal Accumulation 18,857
Change in Total OI (%) 13.10

Traders added another 610 new transaction in Australian dollar futures market on Monday. AUD/USD is climbing higher on rising Open Interest. We assume that current bullish outlook remains intact.