JPY Shorts are Built Further – But are Not Yet Stretched

Published 03/12/2012, 09:34 AM
Updated 05/14/2017, 06:45 AM
  • The latest IMM data covers the week from 28 February to 6 March.
  • JPY positioning not yet stretched: The JPY sell-off paused during the week covered by the IMM data but gained momentum again following Friday’s strong non-farm payrolls report. Non-commercial investors have reacted by adding JPY shorts, which have now reached 13% of open interest on a net basis. While short positions are likely to have been built even further since the collection of the IMM data, it is likely there is still some room to the stretched levels seen in April 2011 and May 2010. This means further upside potential for USD/JPY in the short term, lthough we do not find the risk/reward from long positions attractive as long as the JPY sell-off remains little supported by relative rates.
  • AUD longs are unwound: AUD/USD has fallen nearly 3% from its late February 1.0856 high and investors have scaled back long positions to 38% of open interest. We consider AUD longs vulnerable in the current environment as concerns are increasing about the Chinese growth outlook.
  • ChartChart - 1&2Chart - 3Chart 4 & 5charts 6Chart - 7 & 8charts 9Chart - 10 & 11Chart - 12

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