John J Hardy
The UK’s exit from the European Union is causing volatility in GBP, says Saxo Bank’s head of FX strategy John Hardy, and may be the start of a squeeze on sterling pairs.
Article / 06 June 2016 at 7:48 GMT

COT: Dollar buying continued ahead of US job report

Head of Commodity Strategy / Saxo Bank
  • Hedge fund buying of dollars continued in runup to NFP shocker
  • Bullish dollar bets on the slide since Friday's report
  • JPY, CHF and AUD among the net sold
  • JPY approaching neutral position for first time since January

By Ole Hansen

Hedge funds were net buyers of dollars against eight IMM currency futures throughout May. The buying continued up until last Tuesday with the gross long rising by one-quarter. This was just three days before the weak US job report on Friday which helped send the dollar tumble and forced the reduction of bullish dollar bets.
Five out of the eight IMM currency futures tracked in this were net sold, most noticeably the JPY, CHF and AUD.  

Speculative IMM currency positioning
The JPY was sold for a sixth week with the net-long rapidly approaching a neutral position for the first time since January.

CAD bucked the trend with the buying of 6,212 lots taking the net-long to the highest since February 2013.

EUR long and short positions both increased leaving the net almost unchanged 

Speculative IMM currency positioning

Funds maintain a net-short position in sterling ahead of the Brexit vote later this month. Last week the net remained unchanged with both long and short positions being reduced.

Charts and tables attached. 

— Edited by Martin O'Rourke

Ole Hansen is head of commodities strategy at Saxo Bank
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