IMM Positioning

Longs in the commodity trio remain somewhat crowded

The latest IMM data covers the week from 9 to 16 June.

In general there have only been minor changes to speculative positions.

Short speculative USD positions were trimmed slightly in a week that saw EUR/USD fall back below 1.40 to test the lower end of the recent month’s trading range. Short USD positions against EUR still remain quite low at just 12% of open interest.

Speculative investors recently turned short in JPY, and short JPY positions have been built further. However, following the collection of IMM data, USD/JPY has moved further downwards, making such strategies somewhat expensive. With the market currently biased towards a weaker yen, it has become less likely that we will see a violent spike higher in USD/JPY if risk sentiment improves further.

Despite a very strong rally in sterling, the market has stubbornly held on to GBP shorts, though these have gradually been trimmed. Hence, some of the move higher in GBP can possibly be explained by short-covering.

The IMM data was collected just two days prior to the SNB monetary policy meeting and despite the still-present risk of intervention speculative investors remained marginally net long CHF against USD. This is likely, though, to partly reflect a market bias towards a higher EUR/USD.

Meanwhile, speculative positions remained close to unchanged in AUD, NZD and CAD. Thus, speculative investors remain net long the commodity currencies, despite difficulties in recent weeks to break higher, and maintain a bias towards an AUD outperformance. Positioning has become a bit crowded, not least in AUD and NZD, which could potentially limit the short-term potential. At least risks from being long the commodity currencies appear to have risen.

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

Danske Bank
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