• The latest IMM data covers the week from 23 to 30 June.
  • Speculative investors added to aggregate net short USD positions in a week where the greenback broadly range traded. Meanwhile, open interest in the dollar index has continued to decline as we enter the traditional thin summer months. However, while volumes on the futures market tend to decline during July, this has historically not increased volatility. Rather, volatility tends to spike in September, when, perhaps somewhat counterintuitive, liquidity has returned to the market.
  • GBP/USD was bid higher in the week to 30 June and set a new high for the year at 1.6744 – the first time GBP/USD has broken above 1.67 since October last year. Coinciding with the strong performance speculative investors scaled back GBP shorts and net positioning is now close to neutral, though still marginally net short.
  • Net longs in CHF were reduced as the franc has gradually strengthened since the alleged intervention by the SNB on 24 June. However, with still strong credibility for the ‘SNBput’ market positioning is unlikely to turn meaningfully net short anytime soon.
  • AUD longs were extended for the first time in weeks, as AUD/USD was once again rejected around 0.78. Net AUD longs currently stand at 38% of open interest – still much less than net longs in NZD, which remain around 75% of open interest.
  • The yen has remained fairly range-bound and still enjoys support from setbacks in risk appetite. This is also reflected in market positioning, which is now very close to being neutral following net short positions during most of June.