IMM data released last Friday revealed close to unchanged positioning in EUR. In terms of percentage of open interest, non-commercial EUR positioning has remained relatively stable over the past month around the historically stretched level of the seventh percentile (see page 3). This stability suggests that a new catalyst is required to drive EUR positioning further.
Investors slashed net-long positioning in GBP and NZD in the week to 7 October, sending non-commercial positioning in both currencies to net short territory. This has a very interesting implication since positioning in all currencies included in the report is now net-short versus the USD. Since 2000 this has only occurred once, in the week ending 17 March 2009. USD-bullish bets have been steadily added since July this year and aggregate positioning (in USD terms) has now reached the most bullish level ever seen in the IMM report (see page 2). Despite Fed minutes last Wednesday (post the coverage of this week's IMM report) revealing concerns of USD strength, we fundamentally still expect the USD to gradually strengthen on US growth outperformance and relative monetary policy.
The most significant change in positioning in the week to 7 October was in AUD where non-commercial positioning saw the largest single week bearish build in more than two years. The recent significant change in AUD sentiment has returned speculative AUD positioning to the stretched short levels seen at the beginning of the year, suggesting increasingly more is required to send AUD lower. Fundamentally, we still expect AUD to weaken, driven by relative monetary policy, lower commodity prices and worries of a Chinese slowdown.
In commodities, speculators slashed net longs in oil, returning positioning to historically neutral levels. The move is noteworthy as investors have recently been stubbornly bullish on the black gold despite the continued decline in oil prices.
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