Investing.com - Financial Markets Worldwide

Continue to Add to Short JPY Positions

ByDanske Markets
Published 03/19/2012, 09:45 AM
Updated 05/14/2017, 06:45 AM
  • The latest IMM data cover the week from 6-13 March.
  • Investors remain long the dollar: While net dollar positions were close to unchanged, there was a significant re-allocation in USD  positions across currencies. This is only natural, as the economic recovery implies that the market trades less in “risk-on / risk-off” mode and more on relative economic factors. EUR and CHF short positions were reduced but remain significant, JPY shorts were built further and NZD longs were scaled back. If the unwind in long AUD and NZD positions runs further, the risk/reward from long positions in these currencies should become attractive again. For now, however, we prefer long CAD.
  • Focus is still on JPY positioning: One of the key questions before the release of the latest IMM report was how stretched JPY positioning had become. Looking at the data it is fair to conclude; not that stretched. JPY shorts were built further, but net positions only stand at 22 percent of open interest and thus remains less than 1 sd below the historical average. There is thus still room for further JPY shorts to be added. Whether investors will indeed add to short JPY positions will likely depend on whether the sell-off on the bond market can sustain its recent strong momentum. In other words, whether relative rates will move further against JPY and thus make the recent JPY sell-off look more sustainable.
    • Table - 1Chart - 1 & 2Chart -3Chart - 4 & 5Chart -6Chart - 7 & 8Chart - 9Chart - 10 & 11Chart - 12

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