IMM Positioning: Investors Still Moving Out Of The Euro‏

Published 04/02/2013, 08:27 AM
Updated 05/14/2017, 06:45 AM

Latest IMM data covers the week of March 19 to 26.

Investors continued to add to EUR shorts during the ongoing Cyprus jitters last week. EUR non-commercial net shorts made up 24% of open interest at close on Tuesday. The Cyprus deal has certainly not restored confidence in the single currency. One could say that a new 'deposit flight' risk has been added to EUR.

Speculators continued to move out of CAD. Last week investors continued to shun the currency, and non-commercial net shorts now account for close to 39% of open interest. Note that the number of net short contracts actually dropped slightly. However, we favour to look at 'percent of open interest' when evaluating positioning. Positioning has become very stretched in terms of CAD shorts. We recently recommended selling a 3M call spread in GBP/CAD.

Investors have not lost their appetite for carry. AUD net longs now stand at 42% of open interest. The search for carry is also reflected in the non-commercial carry index (long AUD, NZD vs JPY, USD and CHF) standing at USD 23.8bn - the highest 'IMM carry positioning' since December 2012.

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