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John J Hardy
Saxo Bank’s head of FX strategy John Hardy takes a closer look at trends and moves in today’s forex charts, including EURUSD, USDJPY, AUDUSD, and EURSEK.
Article / 23 April 2018 at 7:46 GMT

COT: Record IMM EUR long despite being range-bound for months

Head of Commodity Strategy / Saxo Bank
Denmark
  • Speculative dollar short continued to climb in week to April 17
  • It reached $29 billion, the highest since early 2011
  • Trend was driven by EUR, GBP and NZD buying

By Ole Hansen

In the week to April 17 the speculative dollar short against nine IMM currency futures continued to climb and reached $29 billion, the highest since early 2011. The change was driven by EUR, GBP and NZD buying with the net IMM EUR long climbing to a fresh record despite EURUSD having been range bound since January. 

Speculative IMM currency positioning
 Table:
Speculative IMM currency positioning
Despite being range-bound since January the euro continued to be bought with the net-long reaching a record 151,476 lots or the equivalent of €19 billion. It accounts for more than 80% of the total long against the dollar and highlights the current risk should the EURUSD fail to move higher, let alone break below €1.2150.

Speculative positioning in IMM EUR
The highest level in Cable since the Brexit crash in June 2016 helped drive the net-long to 47,700 lots, a four-year high. The increase in both long and short positions left the net increase up by just 4,686 lots ahead of the slump that followed last Wednesday's inflation miss.
Speculative positioning in IMM GBP
 
Financials

Leveraged funds extended a record short in US 10-year notes with the value of one basis point move (DV01) rising by $4 million. However aggressive short-covering in US T-bonds of $4.3 million DV01 together with buying of Eurodollars and 10-year Ultra helped leave the overall bearish exposure lower on the week.  

COT on financials
 

– Edited by Clare MacCarthy

 

Ole Hansen is head of commodity strategy at Saxo Bank

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COT on IMM non-commercial currency positioning

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COT on leveraged positions in bonds and stock index futures

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