IMM Positioning

Long CAD positions building

The latest IMM data covers the week from 2 to 9 March.

Speculative investors trimmed long USD positions in a week which saw the narrow dollar index dipping back below the 80 level. The EUR remained under pressure and speculative short positions were added after EUR/USD reached a new year low of 1.3436 on 2 March.

Long positions in JPY were reduced as the yen sold off on the back of the improvement in market sentiment. However, traders hold on to their net long positions.

The build-up of long positions in AUD and CAD continued, mirroring the strong performance of risky assets, strong economic data as well as relatively hawkish central banks. However, with a positioning at 44% of open interest, long CAD is starting to look like a crowded trade. Accordingly, we see downside risks for CAD from a potential position squeeze e.g. caused by a deterioration in market sentiment or verbal intervention on behalf of the BoC.

The time period covered by the data gave the battered GBP a slight respite and speculative investors took off some short positions. However, the market is still positioned for further GBP weakness, with short positioning at 42% of open interest.

The IMM data

The IMM data is part of the Commitments of Traders (COT) reports published by the U.S. Commodity Futures Trading Commission (CFTC). The IMM data provides a breakdown of each Tuesday's open futures positions on the International Money Market (IMM) a division of the Chicago Mercantile Exchange. All of a trader's reported futures positions in a commodity are classified as commercial if the trader uses futures contracts in that particular commodity for hedging as defined in CFTC Regulation 1.3(z), 17 CFR 1.3(z). A trader may be classified as a commercial trader in some commodities and as a noncommercial trader in other commodities

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