Futures market speculative positioning data from the CFTC Commitments of Traders report as of the close on Tuesday, June 25:
- EUR net long 17K vs long 20K prior
- JPY net short 61K vs short 62K prior
- GBP net short 19K vs short 20K prior
- AUD net short 62K vs short 64K prior
- CAD net short 10K vs short 26K prior
- NZD net short 1K vs long 2K prior
- CHF net long 2K vs long 6K prior
- Dollar Index net long 12K vs 15K prior
- Gold net long 34K vs 43K prior
I’m a bit surprised the market didn’t pile into US dollar longs after the FOMC. On the net, the changes were relatively small and suggests the FX market didn’t see tapering as a big deal in the same way as bond and stock markets.
The trim in Canadian dollar shorts is a surprise considering CAD fell 300 pips on the week. It points to some caution and profit taking but leaves the market plenty of room to bet against the loonie.
Another point is that net NZD positioning fell into a net negative for the first time since June 2012. The rule of thumb is to sell a currency when it crosses from positive to negative but that rule hasn’t worked particularly well in recent history.
NZD positioning (net)
