Research Team at Deutsche Bank notes that the IMM data suggests that dollar longs were extended marginally in the run up to the FOMC rate decision as the implied USD longs as a fraction of total open interest inched up to 16% from 15.6% witnessed last week.
“GBP shorts were extended by a third to record levels as Brexit uncertainties continued to weigh on the currency. In contrast, speculators pared their short positions in EUR. Among safe haven currencies, investors extended their JPY short exposure by about 30% before the BOJ policy meeting, whereas CHF shorts were scaled back modestly. Sentiment among commodity currencies continued to be bearish as investors cut their long positions in AUD and CAD while extending their short positions in NZD. In MXN, investors trimmed almost all of their shorts, with positioning falling to levels last witnessed in early November 2015.”
“According to the TFF report, leveraged funds have added to their USD longs whilst asset managers trimmed their shorts by almost a sixth. In EUR, leveraged funds pared their shorts by more than a tenth and asset managers extended their longs modestly. In GBP, leveraged funds extended their shorts while asset manager positioning remained almost unchanged.”
“Among the safe haven currencies, leveraged funds added signiﬁcantly to JPY short exposure while trimming CHF shorts by a ﬁfth. Meanwhile, asset managers pared JPY shorts by a tenth, while reducing CHF short exposure in half. Dollar bloc sentiment further weakened as leveraged funds pared their long exposures in CAD and NZD by 40% and cut AUD longs by almost a third. Asset managers pared CAD longs by a quarter and AUD longs by more than 40%, while cutting NZD net shorts by a tenth. Elsewhere, in MXN leveraged funds trimmed their shorts signiﬁcantly while asset managers positioning remained unchanged.”