Action and result of speculators in the futures and options markets

Currency War and Monetary Policies

By Eduardo Petazze
It has been argued that the monetary policies of central banks in some developed countries adversely affect currency
markets in other countries and, therefore, its competitive position in international trade.
Monetary policies are basically for serving domestic needs in terms of inflation, consumption, savings, etc..
Effects on exchange rates and the flow of hot money could probably be a secondary result of these policies, also affected by
the expectations of economic agents and its own financial results.
While foreign direct investment can lead to reverse growth of net positions of Commercial agents in the futures and options
markets (hedge), the direction of flow of hot money is added to the direction of the net positions of Non-Commercial agents
in the futures and options markets.
What therefore is that we should expect is that
1. An increase in the money supply, will increase the speculative flow, so it will be a growth in net long positions of
speculative investors.
2. Furthermore, increased net long positions of non-commercial investors have been associated with an appreciation
of the currency, while an increase of net short positions (selling) has been associated with a depreciation of the
currency.
However, markets are often more complex than the models that attempt to explain their behavior, so, from time to time, you
should check that the results agree or not with both predictions.
In the absence of direct intervention by central banks (and the government itself) in the FX markets, can be isolated
speculative investor behavior, and the impact of monetary policy on the market
This is the case of the pair Dollar, British Pound.
For the years 2011 and 2012, taking the monetary aggregates (M2) and the positions, reported by the US-CFTC. for NonCommercial, in futures only markets, the results contradict the expectations in both cases:
1. the different growth rates of monetary aggregates in the UK and in the U.S. does not seem to have affected the
decisions of speculative investors, in terms of hot money or change in its net positions in futures markets.
Month
Dec-12
Nov-12
Oct-12
Sep-12
Aug-12
Jul-12
Jun-12
May-12
Apr-12
Mar-12
Feb-12
Jan-12
Dec-11
Nov-11
Oct-11
Sep-11
Aug-11
Jul-11
Jun-11
May-11
Apr-11
Mar-11
Feb-11
Jan-11

Non-Commercial POUND STERLING

Long
Short
Net
70,758
39,380
31,378
50,165
40,536
9,629
57,140
34,327
22,813
51,138
43,559
7,579
36,552
36,243
310
31,909
36,943
-5,034
33,651
44,623
-10,973
49,437
33,503
15,934
34,924
43,200
-8,277
24,198
50,675
-26,477
28,005
60,081
-32,077
23,010
56,402
-33,392
25,523
60,068
-34,545
22,910
61,385
-38,474
16,546
75,063
-58,517
23,227
64,021
-40,795
38,577
35,838
2,739
28,911
44,402
-15,491
31,232
36,291
-5,058
38,361
31,956
6,405
53,665
22,954
30,711
43,819
25,827
17,991
54,527
20,599
33,929
26,488
27,873
-1,385

USD / GBP
1.6145
1.5968
1.6080
1.6126
1.5722
1.5593
1.5556
1.5924
1.6000
1.5824
1.5804
1.5524
1.5587
1.5806
1.5768
1.5771
1.6356
1.6158
1.6219
1.6332
1.6379
1.6152
1.6124
1.5782

GBP - M2, SA
millions
M/M
2,011,433
2,012,152
2,015,398
2,021,943
2,026,095
2,017,982
2,032,849
2,025,197
2,019,170
2,021,151
2,047,600
2,036,994
2,067,264
2,060,378
2,085,693
2,088,123
2,074,194
2,076,586
2,076,487
2,077,185
2,081,109
2,061,730
2,062,991

-0.04%
-0.16%
-0.32%
-0.20%
0.40%
-0.73%
0.38%
0.30%
-0.10%
-1.29%
0.52%
-1.46%
0.33%
-1.21%
-0.12%
0.67%
-0.12%
0.00%
-0.03%
-0.19%
0.94%
-0.06%
-0.87%

USD - M2, SA
$ billions
M/M
10,402.3
1.06%
10,293.6
0.50%
10,242.7
0.83%
10,158.8
0.76%
10,082.4
0.72%
10,010.0
0.92%
9,918.6
0.52%
9,867.5
0.43%
9,825.5
0.44%
9,782.1
0.37%
9,745.9
0.36%
9,710.6
0.76%
9,637.1
0.37%
9,601.2
0.55%
9,549.0
0.31%
9,519.4
0.31%
9,489.6
2.41%
9,266.3
2.05%
9,080.1
0.89%
8,999.7
0.58%
8,947.6
0.54%
8,899.4
0.48%
8,856.8
0.64%
8,800.6
0.21%

2. the action of speculative investors have not had the ability to determine the outcome of the exchange rates:
Financial Result of Non-Commercial Number of Weeks
Net Positions in POUND STERLING 2012
2011
Positive

21

25

Negative

32

28

The following is a breakdown of the number of contracts reported by Non-Commercial agents and the exchange rates of
Tuesday, corresponding to the position reported.
The analysis takes as assumption that investors buy the net long position on the day of the report and sell it on
Tuesday of the following week.
Likewise, sold, the net short position, the day of the report and close (buy) on Tuesday of the following week
Week
#
53
52
51
50
49
48
47
46
45
44
43
42
41
40
39
38
37
36
35
34
33
32
31
30
29
28
27
26
25
24
23
22
21
20
19
18
17
16
15
14
13
12
11
10
9
8
7
6
5
4
3
2
1

Non-Commercial
positions
Jan 8, 13
Dec 31, 12
Dec 24, 12
Dec 18, 12
Dec 11, 12
Dec 4, 12
Nov 27, 12
Nov 20, 12
Nov 13, 12
Nov 6, 12
Oct 30, 12
Oct 23, 12
Oct 16, 12
Oct 9, 12
Oct 2, 12
Sep 25, 12
Sep 18, 12
Sep 11, 12
Sep 4, 12
Aug 28, 12
Aug 21, 12
Aug 14, 12
Aug 7, 12
Jul 31, 12
Jul 24, 12
Jul 17, 12
Jul 10, 12
Jul 3, 12
Jun 26, 12
Jun 19, 12
Jun 12, 12
Jun 5, 12
May 29, 12
May 22, 12
May 15, 12
May 8, 12
May 1, 12
Apr 24, 12
Apr 17, 12
Apr 10, 12
Apr 3, 12
Mar 27, 12
Mar 20, 12
Mar 13, 12
Mar 6, 12
Feb 28, 12
Feb 21, 12
Feb 14, 12
Feb 7, 12
Jan 31, 12
Jan 24, 12
Jan 17, 12
Jan 10, 12
Jan 3, 12

2012
2011
POUND STERLING
Weekly change in the Non-Commercial POUND STERLING
Weekly change in the
GBP / USD
GBP / USD
value of positions
positions
value of positions
Long Short
Net
Long Short
Net
60,523 34,574 25,949
1.6040
Jan 3, 12
27,832 59,731 -31,899
1.5655
69,146 32,838 36,308
1.6262
-806.0
Dec 27, 11
25,465 54,637 -29,172
1.5671
46.7
74,466 37,145 37,321
1.6113
556.1
Dec 20, 11
26,533 52,472 -25,939
1.5674
7.8
79,375 51,339 28,036
1.6256
-400.9
Dec 13, 11
23,782 63,291 -39,509
1.5528
-576.8
64,753 36,799 27,954
1.6103
427.7
Dec 6, 11
26,311 69,871 -43,560
1.5580
226.5
66,050 38,780 27,270
1.6097
16.4
Nov 29, 11
23,503 70,163 -46,660
1.5625
210.0
51,107 40,829 10,278
1.6028
70.9
Nov 22, 11
20,691 57,325 -36,634
1.5646
76.9
46,546 45,816
730
1.5927
7.4
Nov 15, 11
23,355 56,219 -32,864
1.5818
565.3
45,799 37,571 8,228
1.5885
34.6
Nov 8, 11
22,607 51,729 -29,122
1.6076
751.3
57,208 37,929 19,279
1.5985
-192.8
Nov 1, 11
24,396 71,488 -47,092
1.5946
-612.2
57,897 34,494 23,403
1.6083
-229.3
Oct 25, 11
18,917 69,064 -50,147
1.5994
240.7
54,879 36,482 18,397
1.5932
277.8
Oct 18, 11
16,946 70,172 -53,226
1.5654
-1,809.7
54,010 34,411 19,599
1.6101
-331.2
Oct 11, 11
15,391 77,363 -61,972
1.5594
-371.8
54,190 31,618 22,572
1.5987
257.3
Oct 4, 11
14,929 83,653 -68,724
1.5403
-1,312.6
64,726 34,632 30,094
1.6186
-598.9
Sep 27, 11
14,288 78,298 -64,010
1.5681
1,779.5
60,809 33,672 27,137
1.6232
-124.8
Sep 20, 11
14,106 73,861 -59,755
1.5718
221.1
52,597 38,185 14,412
1.6251
-27.4
Sep 13, 11
33,969 60,162 -26,193
1.5805
227.9
49,312 53,678 -4,366
1.6071
-78.6
Sep 6, 11
30,543 43,763 -13,220
1.5954
197.0
41,834 48,702 -6,868
1.5889
-125.0
Aug 30, 11
31,248 30,804
444
1.6279
-14.4
42,407 40,439 1,968
1.5828
12.0
Aug 23, 11
40,888 29,927 10,961
1.6509
-252.1
45,984 38,151 7,833
1.5788
31.3
Aug 16, 11
36,193 39,289 -3,096
1.6424
-26.3
32,054 32,342
-288
1.5692
-2.8
Aug 9, 11
41,290 41,045
245
1.6194
5.6
25,764 34,039 -8,275
1.5658
-28.1
Aug 2, 11
43,266 38,127 5,139
1.6287
-47.8
31,304 33,114 -1,810
1.5686
5.1
Jul 26, 11
33,312 32,090 1,222
1.6392
-12.8
29,332 32,266 -2,934
1.5521
-48.4
Jul 19, 11
26,011 32,725 -6,714
1.6135
-172.5
33,896 41,349 -7,453
1.5613
68.6
Jul 12, 11
27,687 52,488 -24,801
1.5940
-483.6
32,804 40,426 -7,622
1.5506
-81.6
Jul 5, 11
28,634 60,303 -31,669
1.6085
459.2
32,208 37,561 -5,353
1.5702
104.9
Jun 28, 11
27,928 46,277 -18,349
1.6016
-126.6
35,296 36,054
-758
1.5620
-6.2
Jun 21, 11
26,763 38,123 -11,360
1.6232
245.4
32,248 49,401 -17,153
1.5732
192.1
Jun 14, 11
36,684 25,458 11,226
1.6388
-175.1
28,017 51,129 -23,112
1.5562
-392.9
Jun 7, 11
33,554 35,304 -1,750
1.6444
9.8
39,042 41,909 -2,867
1.5355
-59.3
May 31, 11
32,284 34,113 -1,829
1.6439
-0.9
36,052 34,577 1,475
1.5630
-40.6
May 24, 11
28,090 42,233 -14,143
1.6185
-359.2
40,842 29,502 11,340
1.5775
-164.4
May 17, 11
30,327 31,255
-928
1.6206
1.9
57,471 32,450 25,021
1.6025
-625.5
May 10, 11
41,368 23,250 18,118
1.6331
-226.5
59,697 34,358 25,339
1.6159
-339.5
May 3, 11
59,735 28,928 30,807
1.6536
-631.5
53,121 36,628 16,493
1.6221
-102.3
Apr 26, 11
56,867 23,284 33,583
1.6465
238.4
47,435 39,899 7,536
1.6135
64.8
Apr 19, 11
50,572 20,397 30,175
1.6315
452.6
33,221 46,272 -13,051
1.5931
-266.2
Apr 12, 11
53,423 26,752 26,671
1.6263
138.7
29,777 48,561 -18,784
1.5836
-178.4
Apr 5, 11
53,796 21,382 32,414
1.6282
-61.6
29,262 38,069 -8,807
1.5966
114.5
Mar 29, 11
30,077 29,334
743
1.5983
22.2
26,609 37,719 -11,110
1.5972
6.7
Mar 22, 11
53,348 23,624 29,724
1.6387
-1,200.8
25,951 41,803 -15,852
1.5857
-182.3
Mar 15, 11
28,580 28,805
-225
1.6064
-7.3
21,924 63,772 -41,848
1.5736
-506.4
Mar 8, 11
54,967 21,061 33,906
1.6164
-339.1
22,308 59,407 -37,099
1.5720
-59.4
Mar 1, 11
52,122 26,313 25,809
1.6309
-374.2
26,931 50,166 -23,235
1.5887
388.0
Feb 22, 11
53,097 17,088 36,009
1.6129
648.2
27,617 58,967 -31,350
1.5796
-285.3
Feb 15, 11
68,885 16,313 52,572
1.6128
5.3
29,309 69,908 -40,599
1.5691
-426.3
Feb 8, 11
49,204 24,729 24,475
1.6091
90.6
28,161 61,283 -33,122
1.5891
662.4
Feb 1, 11
46,923 24,264 22,659
1.6124
-74.8
23,698 49,912 -26,214
1.5754
-359.1
Jan 25, 11
36,028 28,140 7,888
1.5818
241.4
16,103 47,464 -31,361
1.5595
-498.6
Jan 18, 11
31,415 25,621 5,794
1.6000
-105.5
23,373 65,007 -41,634
1.5356
-995.1
Jan 11, 11
21,014 26,104 -5,090
1.5628
-189.3
24,044 59,897 -35,853
1.5489
476.8
Jan 4, 11
17,494 31,627 -14,133
1.5586
-59.4
27,832 59,731 -31,899
1.5655
529.5
Dec 28, 10
18,294 31,415 -13,121
1.5361
-295.2