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IMM Positioning

ByDanske Markets
Published 11/21/2011, 07:45 AM
Updated 05/14/2017, 06:45 AM
EUR/USD
-0.21%
EUR/CHF
0.01%

Remarkably stable positioning given market volatility The latest IMM data covers the week from 8 November to 15 November
  • .Stable USD longs: Considering the still-high volatility in financial markets and the considerable event risks related to the European debt crisis, FX market positioning has been remarkably stable. Non-commercial investors remain significantly long the dollar, short the euro and modestly long the high-yielding commodity currencies NZD and AUD.

  • Still stretched EUR shorts: Short EUR positions were built further last week, as EUR/USD corrected back towards 1.35 and net short EUR positions now stand at 31% of open interest, which must be considered stretched. However, in late September, short positions were built to near 40% and there is thus probably still modest room for short building to take EUR/USD lower in the near term. Strong technical support is found around the 1.34 level but, given the relative monetary policy outlook, we maintain our 1.30 target in three months.

  • Investors turn short CHF again: Net CHF positions have been turned from modest long to modest short positions in the week to 15 November, coinciding with a gradual move higher in EUR/CHF to around 1.24. The change in positioning shows quite well what is driving the Swiss franc at the moment. It is not relative fundamentals – then CHF should be trading stronger – but rather speculation about the potential for a hike of the 1.20 floor. As local analysts have started discussing the possibility of a hike of the floor as soon as the December monetary policy meeting, the CHF has weakened


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