09 August 2010
IMM positioning
Non-commercial investors add to short USD positions
The latest IMM data cover the week from 27 July to 3 August.
IMM non-commercial positions
Non-commercial investors added further to short USD positions, which have now reached
USD17bn. The dollar has lost close to 10% since its early July peak and with Friday’s EUR
03-Aug 27-Jul
disappointing US labour market report (released after the collection of IMM data) GBP
positioning is likely to have turned even more against the dollar. As short USD positioning CHF
becomes more stretched so does the upside risk to USD from a potential position squeeze. CAD
JPY
Coinciding with the strong rebound in EUR/USD over the past month speculative
AUD
investors have unwound their short EUR positions. EUR positions are now back at neutral
MXN
levels (net shorts at 3% of open interest) for the first time since December last year.
NZD
Net long positions in the commodity currencies (AUD, CAD and NZD) have become even
-60 -10 40 90
more stretched with NZD looking most vulnerable with net longs at 62% of open interest. % of open interest
A position squeeze, potentially driven by oil prices correcting fast back below USD80 per Source: CFTC
barrel (watch Wednesday’s IEA oil market report), could see AUD, CAD and NZD correct
lower.
Net long JPY positions have now reached 36% of open interest despite the current strong
JPY level fuelling speculation in the market about the potential for interventions by the
Bank of Japan.
Source: CFTC
Senior Analyst
Kasper Kirkegaard
+45 45 13 70 18
kaki@danskebank.com
www.danskeresearch.com
IMM positioning
Chart 1. Sum of EUR, JPY, GBP, CHF, CAD, AUD and NZD
92.5 40
Dollar index << Narrow USD index USD bn
90.0 30
Net long USD
87.5 20
85.0 10
82.5 0
80.0 -10
77.5 -20
USD positions >>
75.0 -30
72.5 -40
Net short USD
70.0 -50
04 05 06 07 08 09 10
35 35
USD bn USD bn
30 30
Long AUD, NZD vs. Short CHF, JPY
25 25
20 20
15 15
10 10
5 5
0 0
-5 -5
-10 -10
03 04 05 06 07 08 09 10
Source: CFTC
1.65 125
EUR/USD Net long EUR vs. USD 1000 contracts
1.60 100
1.55 75
Speculative positions >>
1.50 50
1.45 25
1.40 0
1.35 -25
1.30 -50
<< EUR/USD spot
1.25 -75
1.20 -100
Net short EUR vs. USD
1.15 -125
04 05 06 07 08 09 10
Source: CFTC
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IMM positioning
04 05 06 07 08 09 10
Source: CFTC
2.2 125
Net long GBP vs. USD 1000 contracts
2.1 100
GBP/USD << GBP/USD spot
2.0 75
1.9 50
1.8 25
1.7 0
1.6 -25
Speculative positions >>
1.5 -50
1.4 -75
Net short GBP vs. USD
1.3 -100
04 05 06 07 08 09 10
Source: CFTC
04 05 06 07 08 09 10
Source: CFTC
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IMM positioning
0.90 125
USD/CAD (reversed) 1000 contracts
0.95 100
Net long CAD vs. USD
1.00 75
Speculative positions >>
1.05 50
1.10 25
1.15 0
1.20 -25
1.25 -50
1.30 -75
<< USD/CAD spot
1.35 -100
Net short CAD vs. USD
1.40 -125
04 05 06 07 08 09 10
Source: CFTC
1.10 90
AUD/USD 1000 contracts
1.05 80
Speculative positions >> << AUD/USD spot
1.00 70
Net long AUD vs. USD
0.95 60
0.90 50
0.85 40
0.80 30
0.75 20
0.70 10
0.65 0
0.60 -10
0.55 Net short AUD vs. USD -20
04 05 06 07 08 09 10
Source: CFTC
0.85 30
NZD/USD Net long NZD vs. USD 1000 contracts
0.80 25
<< NZD/USD spot
0.75 20
0.70 15
0.65 10
0.60 5
0.55 0
Speculative positions >>
0.50 -5
Net short NZD vs. USD
0.45 -10
04 05 06 07 08 09 10
Source: CFTC
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IMM positioning
100 75
80 25
60 -25
20 -125
04 05 06 07 08 09 10
Source: CFTC
1300 400
$/troy ounce Net long gold 1000 contracts
1200 350
1100 Speculative positions >> 300
1000 << Gold spot 250
900 200
800 150
700 100
600 50
500 0
400 -50
300 Net short gold -100
04 05 06 07 08 09 10
Source: CFTC
9000 40
$/Ton Net long copper 1000 contracts
8000 30
7000 20
6000 10
5000 0
<< 3M forward, LME
4000 -10
3000 -20
Net short copper Speculative positions >>
2000 -30
04 05 06 07 08 09 10
Source: CFTC
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IMM positioning
0.5 250
% Net long 2Y Treasuries 1000 contracts
1.0 200
1.5 150
2.0 Speculative positions >> 100
2.5 50
3.0 0
3.5 -50
4.0 -100
4.5 -150
5.0 << Yield (reverse scale) -200
5.5 -250
Net short 2Y treasuries
6.0 -300
04 05 06 07 08 09 10
Source: CFTC
1.5 700
% Net long 10Y Treasuries 1000 contracts
2.0 600
2.5 500
3.0 Speculative positions >> 400
3.5 << Yield (reverse scale) 300
4.0 200
4.5 100
5.0 0
5.5 -100
6.0 -200
6.5 Net short 10Y treasuries -300
04 05 06 07 08 09 10
Source: CFTC
1600 75
Index Net long S&P500 1000 contracts
1500
1400 50
<< Index
1300 25
1200
1100 0
1000
-25
900
Speculative positions >>
800
-50
700
600 Net short S&P500 -75
04 05 06 07 08 09 10
Source: CFTC
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IMM positioning
The IMM data is part of the Commitments of Traders (COT) reports published by the U.S.
Commodity Futures Trading Commission (CFTC). The IMM data provides a breakdown of each
Tuesdays open futures positions on the International Money Market (IMM) a division of the
Chicago Mercantile Exchange. All of a trader's reported futures positions in a commodity are
classified as commercial if the trader uses futures contracts in that particular commodity for
hedging as defined in CFTC Regulation 1.3(z), 17 CFR 1.3(z). A trader may be classified as a
commercial trader in some commodities and as a non-commercial trader in other commodities.
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IMM positioning
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