JPY longs pared, USD longs extended marginally – Deutsche Bank

Research Team at Deutsche Bank, notes that the IMM data show that investors have extended their long dollar exposure at the margin, taking implied USD longs as a fraction of open interest to 21% from 20% in the previous week.

Key Quotes

“In EUR and GBP, speculators scaled back their short exposure modestly. Among the safe haven currencies, investors cut their JPY longs once again, taking them to the lowest level since early June. At the same time CHF shorts were pared marginally. Investors also extended their long AUD exposure once again, but pared their long NZD and short CAD exposures modestly. Elsewhere, investors extended their bearish MXN positions aggressively following the US presidential election outcome.”

“Traders in Financial Futures data show that leveraged funds extended their implied dollar long position while asset managers pared their implied dollar short exposure almost by half. In contrast, asset managers extended their net EUR longs while leveraged funds cut their short exposures moderately. Meanwhile in GBP, leveraged funds pared their short positions by a fifth while asset managers extended their shorts modestly. Sentiment worsened in JPY as leveraged funds cut their net longs aggressively while asset managers doubled their short exposure. In CHF, leveraged funds reduced their short CHF positions while asset managers pared almost all of their net long CHF position.  Leveraged funds added to their net short CAD positions while cutting long NZD exposure marginally. On the other side, asset managers extended net long CAD positions by a quarter, while keeping their NZD short position almost the same. In AUD, both communities reduced their net long position considerably. In MXN, leveraged funds cut their net shorts while asset managers extended their net long exposure modestly.”