FX positioning

Kresmion computes each currency future's speculator net as a share of open interest, its week-over-week change, its percentile among the trailing 156 weekly CFTC reports and its 3-year z-score, and labels positioning stretched when the z-score is 2 or more from its mean; they describe positioning, not a forecast.

• Net position = non-commercial long minus non-commercial short contracts in the CFTC Legacy report, futures only. Non-commercial traders are the large speculators (funds, CTAs) the CFTC does not classify as hedgers. Positive = net long the currency named against the US dollar (for the dollar index: net long the dollar).
• % of open interest = that net over the contract's open interest, which makes contracts of different size comparable. Week change is the difference from the previous report.
• 3y percentile: where this week's net sits among the trailing 156 weekly reports (0 = the most short, 100 = the most long), shown once 26 weeks are stored. 3y z-score: the share of open interest against its own 156-week mean and standard deviation, the week itself excluded.
• Positioning reads |z| of 2 or more together with the actual side: net long and far above its norm reads "stretched long"; net short but far above its norm reads "shorts unwinding" (and the mirror cases). It is the same rule as Kresmion's COT events, describes where positioning sits, and makes no call on price.
• Quarterly contract expiries can move open interest sharply in one week; the z is still stored then, but Kresmion's event feed does not attribute that week to speculators.
• The CME contracts are quoted in US dollars per unit of the foreign currency, so a net long euro, yen or peso position is a position against the dollar. The dollar index contract trades on ICE Futures U.S. and is reported by the CFTC like any other.