26 March 2018 at 7:13 GMT
In the week to March 20 the speculative dollar short against nine IMM currency futures jumped by 50% to $26.1 billion, the highest since August 2011.
- Short JPY position collapsed in the week to March 20 over risk aversion
- Speculative dollar short against nine IMM currency futures jumped sharply
- Leveraged funds sold most bond maturities ahead of FOMC meeting
Heightened trade tensions and risk aversion made a big impact in the week to March 20.
By Ole Hansen
Profit taking reduced the near record EUR long by 9% while speculators added significant length to GBP, AUD and NZD.
The change however was driven by a collapse in the JPY net-short by 72% to just 22,000 lots, a 16-month low. The significant amount of short-covering, which amounted to 57,540 lots or $6.8 billion equivalent, was driven by rising risk aversion amid rising global trade tensions.
• Leveraged funds sold most maturities across the curve ahead of Wednesday’s FOMC rate hike. The DV01 being the dollar value of 1 basis point change rose to $165 million, the highest in at least one year.
• The net-short in US 10-yr notes reached 405,000 lots, the second highest level since data began being collected in 2006.
• In equities, speculators trimmed short positions in the S&P and the Dow while turning net-short on the Nasdaq. The VIX net-long jumped by one-third on rising trade tensions.
– Edited by Clare MacCarthy
Ole Hansen is head of commodity strategy at Saxo Bank