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IMM Positioning: Dollar Longs Back At Summer 2012 levels‏

ByDanske Markets
Published 03/12/2013, 06:47 AM
Updated 05/14/2017, 06:45 AM
USD/CAD
-0.08%
NWSA
-0.25%

The latest IMM data is for the week of February 19 - 26

Investors continue to buy the dollar. The dollar has strengthened since early February, with the DXY dollar index up more than 4% in an odd ‘risk-on period’ rally. Speculative money has participated in the move and net long dollar positions have now reached USD 18.3bn – the highest since last summer. With price momentum looking increasingly stretched (14-day RSI is above 70), and positioning above 1 sigma the dollar has now entered a ‘high risk’ zone where it should take little dollar-negative news to trigger a correction.

Commodity currency underperformance: The biggest shift in dollar positioning has been against the commodity currencies AUD and CAD as well as the EUR. Net short CAD positions were built from 11 to 21 percent of open interest last week. Last time positioning was as short was in September 2011, with USD/CAD reaching a 1.0658 high shortly after, and then trading in a 0.99-1.06 range during the coming months, until investors again turned bullish on CAD in early 2012. The risk-reward from short USD/CAD positions is looking increasingly attractive.

of open interest
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