The latest IMM data covers the week from 20 to 27 May 2014.
IMM positioning data released on Friday showed the third consecutive week of bearish EUR builds. Since the ECB meeting in May, speculative EUR positioning has moved from the 49th to the 24th percentile, reflecting growing expectations of considerable ECB easing this week. Although speculative EUR positioning still does not look stretched in a historical perspective, the recent change in investor sentiment has increased the sensitivity to the upside. Hence should the ECB disappoint on Thursday, there is considerable risk of a marked EUR strengthening.
Generally improved risk sentiment is also reflected in the latest data release with investors adding considerable net short positions in CHF and JPY. This week's change in CHF positioning is the largest single weak bearish build since May 2013 and non-commercial CHF positioning has now returned to being absolute short albeit still close to broadly square (see page 6).
Noteworthy, investors continue to add bullish builds in MXN. In the past three weeks, speculative MXN positioning has moved from the 50th to the 70th percentile, reflecting a renewed investor appetite for high yield and exposure to EM. This is also reflected in the absolute long speculative AUD and NZD positioning (see page 6).
In commodities, speculators continue to add net longs in oil and copper on the back of improved global growth optimism. While speculative Brent Crude positioning now looks very stretched at the 92nd percentile, copper positioning remains neutral in a historical perspective.
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