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The current mixture of strong macroeconomic signals and what is expected to be a strong showing from today's nonfarm payrolls report is flashing a "green light" to Federal Reserve hawks. Meanwhile, fear of Sunday's Italian vote seems to be fading.
Article / 26 September 2016 at 6:01 GMT

COT: Aussie long liquidation while MXN hits record short on Trump

Head of Commodity Strategy / Saxo Bank
Denmark
  • Hedge funds increase bullish IMM dollar bets
  • USD especially bought against commodity currencies CAD, AUD and NZD
  • JPY positions, long and short, reduced ahead of BoJ meeting on Sep 21
  • Net-short position in Mexican peso hit record amid worries about a Trump victory
  • AUD sold most since August 2011 on fresh selling and long liquidation


By Ole Hansen

Hedge funds increased bullish IMM dollar bets by 14% in the week to September 20. Against the eight IMM currency futures tracked in this the greenback was especially bought against the commodity currencies of CAD, AUD and NZD.

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 The net-short position in the Mexican peso hit a new record amid worries about a Trump victory. Photo: iStock

Funds have maintained an almost unchanged net-short exposure to the euro during the past month while IMM JPY positions, both long and short, were reduced ahead of the BoJ meeting on September 21.

Speculative IMM currency positioning
 
The net-short position in the Mexican peso hit a new record as worries about a Trump victory take hold.

Speculative positioning in IMM MXN
 
Wrongly timed fresh buying of sterling saw the net-short being cut by 29%.

Speculative positioning in IMM GBP


AUD sold the most since August 2011 on a combination of fresh selling and long liquidation. This triggered an 81% reduction of the net long to the lowest in 11 weeks. NZD sellers took the net short to a seven-month high. 

Speculative positioning in IMM AUD




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– Edited by Susan McDonald


Ole Hansen is head of commodity strategy at Saxo Bank



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Commitments of Traders: IMM Currency Futures

26 September
Market Predator Market Predator
@Ole: checking price action and COT >> NZDUSD seem to be short super-promissing. Thx!
26 September
Pandorra Pandorra
Tnx for sharing, Ole. Could you please clarify about hedge funds weekly and monthly views on RUB/USD futures (CME 6R code). Thank you in advance.
27 September
Ole Hansen Ole Hansen
On RUB: Both gross long and short positions have risen to record during the past couple of weeks. Overall the net-long dropped by 27% last week after hitting a near five-week high the previous week
27 September
Ole Hansen Ole Hansen
five year high (not five week) in the text above
27 September
Market Predator Market Predator
Maybe carry trade is more powerfull than revers in COT and RBNZ :(
27 September
Pandorra Pandorra
Good call, tnx for respond Ole. Please update RUB time to time if getting any new. Guess is in the Brazil money almost the same pic.
still 2.665 natgas or above 2.7 for now?
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