The latest IMM data covers the week from 28 January to 4 February 2014
IMM positioning data released last Friday showed the largest build in non-commercial net short EUR positions in three months. Investors are now short EUR in absolute terms and, measured in percentage of open interest, speculators have not been this short the single currency since July. The large change in EUR positioning reflects the stabilisation in emerging markets and suggests that some investors speculated a rate cut prior to the ECB meeting held on Thursday. The level of net USD longs rose in the week to 4 February. USD positioning remains very stretched, leaving room for more short-term upside in EUR/USD.
The second largest change in investor positioning – measured in percentage of open interest – was in GBP where net longs were slashed. Despite the unwinding of GBP longs, absolute GBP positioning remains long at the 59th percentile in a historical perspective.
Despite stabilisation of EM jitters, investors continued to add net longs in JPY and CHF. In absolute terms, CHF positioning is once again long after three weeks of being short. JPY positioning has moved from the 1st to the 12th percentile this year. It is noteworthy that net shorts were unwound in both AUD and CAD although positioning in both currencies remains very stretched. Positioning in MXN, BRL and RUB was close to unchanged.
In commodities the most significant shift in non-commercial positioning was seen in corn where net shorts were slashed bringing corn positioning to its 22nd percentile – a level not seen since the start of July. Net shorts were also slashed in wheat while a considerable amount of net shorts were added in copper, returning copper positioning to levels seen at the start of December. Non-commercial positioning in Brent crude remains very stretched.
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