Managed Money Positioning: IMM Currency futures

Covering the week ending December 6, 2016

Ole S. Hansen
Head of Commodity Strategy
Overview
6-Dec-16 Long Change Short Change Net Net Chg. Net Net Chg. Chg. Pct 1 yr high 1 yr low
(lots) (lots) bn USD bn USD (lots) (lots)

EUR 123,390 -12,718 237,946 -17,402 -114,556 4,684 -15.3 0.6 -4% -21,872 -161,047
CHF 9,859 -3,168 35,256 -2,105 -25,397 -1,063 -3.2 -0.1 4% 10,867 -25,397

GBP 43,169 -7,637 120,407 -8,534 -77,238 897 -6.0 0.1 -1% -13,619 -97,572

JPY 74,367 2,243 108,304 35,911 -33,937 -33,668 -3.8 -3.8 71,870 -33,937
CAD 21,538 -3,472 39,696 -3,890 -18,158 418 -1.4 0.0 -2% 26,259 -66,819

AUD 48,274 -6,517 27,403 -6,431 20,871 -86 1.6 -0.0 0% 59,540 -36,267
NZD 27,641 -2,590 31,593 -510 -3,952 -2,080 -0.3 -0.1 111% 9,352 -9,139

MXN 18,619 -695 72,685 -1,129 -54,066 434 -1.3 0.0 -1% -12,420 -89,342

USD 29.7 3.3 13%

IMM currency futures: Speculative positioning

USD billion EUR JPY GBP CHF CAD, AUD & NZD MXN USD
60

50

40

30

20

10

-10

-20

-30

-40

-50
Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16

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 Majors
1 0 0 0 lots IMM EUR: Money manager positioning E U RUSD 1 0 0 0 lots IMM GBP: Money manager positioning G BP USD
Net Short Long EUR Net Short Long GBP
300 1.40 200 1.80
Thousands

150
200 1.70

1.30
100
100 1.60

50
0 1.20 1.50
0

-100 1.40
-50
1.10

-200 1.30
-100

-300 1.00 -150 1.20

Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16

1 0 0 0 lots IMM C HF: Money manager positioning U SD CHF 1 0 0 0 lots IMM JPY: Money manager positioning U SD JPY
Net Short Long CHF, inverse Net Short Long JPY, inverse
50 0.85 200 70

40 150
80
30
0.90 100

20 90
50
10
0.95 0 100
0
-50
-10 110

1.00 -100
-20
120
-30 -150

-40 1.05 -200 130

Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Nov-12 May-13 Nov-13 May-14 Nov-14 May-15 Nov-15 May-16 Nov-16

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Commodity currencies
1 0 0 0 lots IMM AUD: Money manager positioning 1 0 0 0 lots IMM C AD: Money manager positioning U SD CAD
A U DUSD
Net Short Long AUD Net Short Long CAD, inverse
150 0.95
200 1.10

1.05
150 100
1.00

100 1.15

0.90 50

50 1.25

0.80 0

0 1.35

0.70 -50
-50 1.45

-100 0.60 -100 1.55

Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16

1 0 0 0 lots IMM NZD: Money manager positioning N ZD USD 1 0 0 0 lots IMM MXN: Money manager positioning U SD MXN
Net Short Long NZD Net Short Long MXN, inverse
50 0.90 200 11

40 150
0.85 13

30
100
0.80 15
20
50
10 0.75 17
0
0
0.70 19
-50
-10

0.65 21
-20 -100

-30 0.60 -150 23

Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16

4
Others

1 0 0 0 lots IMM MXN: Money manager positioning U SD MXN 1 0 0 0 lots IMM RUB: Money manager positioning U SD RUB
Net Short Long MXN, inverse Net Short Long RUB, inverse
200 11 35 20

30
150 30
13
25
100 40
15 20

50 15 50
17
0 10 60

19 5
-50 70
0
21
-100 80
-5

-150 23 -10 90
Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16

5
What is the COT report?

The Commitments of Traders report is issued by the US Commodity Futures Trading Commission (CFTC)

It is released every Friday at 15:30 Eastern time with data from the week ending the previous Tuesday

The ICE exchange (Brent, Gas, oil) publishes its report every Monday around 13:00 CET

It breaks down the open interest in futures markets where 20 or more traders hold positions

Producer/Merchant/Processor/User; Swap Dealers; Managed Money and other

It covers most US futures markets from stocks, rates, and IMM currencies to commodities

Our focus and that of others is primarily on the behavior of Managed Money traders:

Commodity trading advisors (CTA), commodity pool operators (CPO), and unregistered funds

They are likely to have tight stops and no underlying exposure that is being hedged

This makes them most reactive to changes in fundamental or technical price developments

It provides views about major trends but also helps to decipher when a reversal is looming

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