FX SENTIMENT REPORT COMMITMENT OF TRADERS CFTC

Transcription

1 GLOBAL FX STRATEGY FX SENTIMENT REPORT COMMITMENT OF TRADERS CFTC Shaun Osborne Chief FX Strategist (416) abank.com Eric Theoret, CFA, CMT FX Strategist (416) abank.com Friday, December 11, Net Short EUR Posi ons Reduced Slightly A er ECB Data in this report cover up to Tuesday Dec 8 & were released Friday Dec 11. CFTC data for the week through Tuesday December 8th reflect a modest reduc on in aggregate USD bets among specula ve and levered trading accounts. But, considering the 3% rise in the EUR (spot) which followed the ECB mee ng on December 3rd, the overall shi in market posi oning is rather subdued. Net USD s were cut by around USD3bn this week (to USD41.3bn) but changes in EUR posi oning represented less than a third of that AGGREGATE USD POSITION USD Position Specifically, specula ve accounts reduced net EUR posi ons by some 1k contracts, or the equivalent of USD84 mn, last week. Considering the scale of the apparent disappointment with ECB easing ac on last week and the rout in the spot market, that looks rela vely light. Of course, posi ons could have been covered and re ini ated as the EUR rebound steadied. But that suggests investors are either loathe the ditch the EUR trade or happy to sell into EUR gains for now. Elsewhere, data showed significant covering in the AUD, with net s trimmed USD993 mn in the week, and in the JPY, with net s reduced by USD7 mn. Less aggressive posi on adjustment was seen in net GBP s (reduced a li le over USD4 mn) and in net CHF exposure. Despite the CAD being one of the worst performing major currencies in the week through Dec 8th, investors appear to have been slow to react; net CAD s rose a modest 1.1k contracts net. Sentiment $mns 8 Dec Bias Trend Position w/w chg. CAD bearish neutral 2, AUD bearish decreasing 2, NZD bullish increasing MXN bearish neutral EUR bearish decreasing 23, GBP bearish decreasing 2, CHF bearish neutral 3, JPY bearish decreasing 6,92 7 Gold bullish increasing 2,19 1,67 Total USD pos'n (excluding gold) 41,345 3,49 CAD NON COMMERCIAL POSITIONING ($MM) Position Contracts of 1, CAD Date Net Long Short Net Net w/w Open Int. 8 Dec 2,955 48,776 88,914 4,138 1, ,857 1 Dec 2,918 38,349 77,329 38, , Nov 2,92 41,34 79,921 38,617 1, , Nov 2,128 45,589 73,941 28,352 1, , CAD VS NET POSITION 's of contracts USDCAD USDCAD (R) CAD: GROSS LONG, SHORT & NET 's of contracts Net Gross Long Gross Short * A trader is classified as non commercial by the Commodity Futures Trading Commission if the trader is not using futures contracts in a par cular currency for hedging purposes (as defined by the Commission). This category of futures trader is generally considered to include individual investors, hedge funds and other large financial ins tu ons engaged in trading the securi es for specula ve purposes.

2 GLOBAL FX STRATEGY Friday, December 11, AGGREGATE USD POSITION 2 1 EUR NET POSITION 1 2 Aggregate USD Position JPY: GROSS LONG, SHORT & NET 's of contracts 1 1 EUR: GROSS LONG, SHORT & NET 's of contracts Net Gross Long Gross Short 2 3 Net Gross Long Gross Short NET LONG / SHORT POSITION VS USD bn WEEK RANGE NET LONG/SHORT POSITION 1 2 EUR JPY AUD GBP CAD CHF MXN NZD *red column denotes 52 week range of $ value of net position; black line is current net position. EUR JPY AUD GBP CAD CHF MXN NZD 2

3 GLOBAL FX STRATEGY Friday, December 11, EUR VS NET POSITION 's of contracts EURUSD GBP VS NET POSITION 's of contracts GBPUSD EURUSD (R) GBPUSD (R) EUR NON COMMERCIAL POSITIONING GBP NON COMMERCIAL POSITIONING ($MM) Position Contracts of 1, EUR ($MM) Position Contracts of 62,5 GBP 8 Dec 23,463 8,378 2,79 172,331 1, ,921 8 Dec 2,242 41,633 65,535 23,92 4,356 2,245 1 Dec 24,32 78, , ,845 7, ,447 1 Dec 2,664 38,43 66,661 28,8 3, , Nov 23,346 76,296 1,78 175,484 11,37 444, Nov 3,41 32,322 64,578 32,6 6, ,39 17 Nov 21,84 78, ,75 164,177 21, ,81 17 Nov 2,42 35,17 6,367,26 9,49 175,4 5 1 JPY VS NET POSITION 's of contracts USDJPY USDJPY (R) CHF VS NET POSITION 's of contracts USDCHF USDCHF (R) JPY NON COMMERCIAL POSITIONING CHF NON COMMERCIAL POSITIONING ($MM) Position Contracts of 12.5MM JPY ($MM) Position Contracts of 1, CHF 8 Dec 6,92 26,4 94,45 68,5 6, ,55 8 Dec 3,217 11,538 37,78, ,8 1 Dec 7,62 31,228 16,129 74,91 2,435 3,55 1 Dec 3,2 18,313 43,12 24,789 2,58 78, Nov 7,889 3,277 17,613 77,336 1, , Nov 2,731 18,314 4,523 22,29 6,88 72, Nov 7,96 34, ,86 78,611 11,723, Nov 1,888 19,14 34,343,329 6,19 67,119 3

4 GLOBAL FX STRATEGY Friday, December 11, AUD VS NET POSITION 's of contracts AUDUSD AUDUSD (R) NZD VS NET POSITION 's of contracts NZDUSD (R) 2 NZDUSD AUD NON COMMERCIAL POSITIONING NZD NON COMMERCIAL POSITIONING ($MM) Position Contracts of 1, AUD ($MM) Position Contracts of 1, NZD 8 Dec 2,423 47,696 81,275 33,579 13,69 162,139 8 Dec 59 24,452 15,571 8,881 4,124 38,4 1 Dec 3,416 48,63 94,711 46,648 1, ,8 1 Dec ,881 18,124 4, , Nov 4,147 46,37 13,182 57,145 9, , Nov ,63 18,593 4,1 1,238 35,99 17 Nov 4,726 44, ,397 66,464 13, ,83 17 Nov 34 22,219 16,971 5, ,899 MXN VS NET POSITION 's of contracts USDMXN OIL (WTI) VS NET POSITION 's of contracts $/barrel WTI (R) USDMXN (R) MXN NON COMMERCIAL POSITIONING NYMEX Crude NON COMMERCIAL POSITIONING ($MM) Position Contracts of 5, MXN ($MM) Position Contracts of 1 barrels 8 Dec ,226 69,67 24,381 1,84 199,89 8 Dec 7,422 48,88 282, ,874 1,64 1,713,573 1 Dec ,974 74,439,465 3, ,826 1 Dec 8,7 475, ,14 28,478 3,547 1,661, Nov 885 5,323 79,584 29,261 9,2 189,63 24 Nov 9,9 472,273 26, , 16,53 1,632, Nov 1,144 41,435 79,698 38,263 19, , Nov 9, ,99 265, ,555 9,767 1,662,829 4

5 GLOBAL FX STRATEGY Friday, December 11, NATURAL GAS VS NET POSITION 's of contracts $/mmbtu Natural Gas (R) GOLD VS NET POSITION 's of contracts Gold (R) $/oz. 1,3 1, 1,2 1,15 1,1 1,5 2 S&P VS NET POSITION 's of contracts (e minis) 2,2 1 1Y VS NET POSITION 's of contracts 1.75% ,1 2, 1, S&P 5 (R) 3 1,8 3 1Y Treasury Yield (R) 2.5 IMPORTANT NOTICE and DISCLAIMER: This publica on has been prepared by The Bank of Nova Sco a (Sco abank) for informa onal and marke ng purposes only. Opinions, es mates and projec ons contained herein are our own as of the date hereof and are subject to change without no ce. The informa on and opinions contained herein have been compiled or arrived at from sources believed reliable, but no representa on or warranty, express or implied, is made as to their accuracy or completeness and neither the informa on nor the forecast shall be taken as a representa on for which Sco abank, its affiliates or any of their employees incur any responsibility. Neither Sco abank nor its affiliates accept any liability whatsoever for any loss arising from any use of this informa on. This publica on is not, and is not constructed as, an offer to sell or solicita on of any offer to buy any of the currencies referred to herein, nor shall this publica on be construed as an opinion as to whether you should enter into any swap or trading strategy involving a swap or any other transac on. The general transac on, financial, educa onal and market informa on contained herein is not intended to be, and does not cons tute, a recommenda on of a swap or trading strategy involving a swap within the meaning of U.S. Commodity Futures Trading Commission Regula on and Appendix A thereto. This material is not intended to be individually tailored to your needs or characteris cs and should not be viewed as a call to ac on or sugges on that you enter into a swap or trading strategy involving a swap or any other transac on. You should note that the manner in which you implement any of the strategies set out in this publica on may expose you to significant risk and you should carefully consider your ability to bear such risks through consulta on with your own independent financial, legal, accoun ng, tax and other professional advisors. Sco abank, its affiliates and/or their respec ve officers, directors or employees may from me to me take posi ons in the currencies men oned herein as principal or agent, and may have received remunera on as financial advisor and/or underwriter for certain of the corpora ons men oned herein. Directors, officers or employees of Sco abank and its affiliates may serve as directors of corpora ons referred to herein. All Sco abank products and services are subject to the terms of applicable agreements and local regula ons. This publica on and all informa on, opinions and conclusions contained in it are protected by copyright. This informa on may not be reproduced in whole or in part, or referred to in any manner whatsoever nor may the informa on, opinions and conclusions contained in it be referred to without the prior express wri en consent of Sco abank. Trademark of The Bank of Nova Sco a. Used under license, where applicable. Sco abank, together with Global Banking and Markets, is a marke ng name for the global corporate and investment banking and capital markets businesses of The Bank of Nova Sco a and certain of its affiliates in the countries where they operate, all members of the Sco abank group and authorized users of the mark. The Bank of Nova Sco a is incorporated in Canada with limited liability and is authorised and regulated by the Office of the Superintendent of Financial Ins tu ons Canada. The Bank of Nova Sco a and Sco abank Europe plc are authorised by the UK Pruden al Regula on Authority. The Bank of Nova Sco a is subject to regula on by the UK Financial Conduct Authority and limited regula on by the UK Pruden al Regula on Authority. Sco abank Europe plc is authorised by the UK Pruden al Regula on Authority and regulated by the UK Financial Conduct Authority and the UK Pruden al Regula on Authority. Details about the extent of The Bank of Nova Sco a's regula on by the UK Pruden al Regula on Authority are available on request. Sco abank Inverlat, S.A., Sco a Inverlat Casa de Bolsa, S.A. de C.V., and Sco a Inverlat Derivados, S.A. de C.V., are each authorized and regulated by the Mexican financial authori es.not all products and services are offered in all jurisdic ons. Services described are available in jurisdic ons where permi ed by law.