06 June 2016 at 7:48 GMT
- 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.
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
Charts and tables attached.
— Edited by Martin O'Rourke
Ole Hansen is head of commodities strategy at Saxo Bank