IMM Positioning

Speculative investors turn net long JPY

The latest IMM data covers the week from 5 to 12 May.

The IMM report shows a broad-based move out of USD coinciding with intensified USD weakness prior to the collection of IMM data last week. This rush out of the dollar does, inmour opinion, increase the potential for a short-term USD recovery.

Speculative investors turned net long in JPY for the first time since early March. Speculative investors had been significantly short JPY throughout the rally in risky assets, which began around the 6 March low in the S&P500 index, and while net long positions are only marginal this is an important signal illustrating the change in sentiment we have seen in the past week. We would expect that JPY could see further support in the short term if equity markets stay soft, but with speculative positions back to being long, this could trigger a catalysed move higher in USD/JPY if sentiment improves.

EUR/USD had been moving gradually higher since late April and as the pair approached the March high speculative investors added to their net long EUR positions. However,
IMM data was collected on 12 May the day before EUR/USD was rejected at the 19 March 1.3739 high and the move lower in the pair could thus have been partly triggered by profit taking ahead of the important technical resistance level.

Despite increased pressure on the high-beta and pro-cyclical currencies, such as the AUD, speculative investors have built long positions further and net long AUD positions now stand at one-third of open interest – the highest level since early August.

Speculative investors are now marginally long CHF, which has proven a wise decision as CHF shorts can still be burned by SNB intervention. This Friday BIS was out buying EUR/CHF, which may have been by request from the SNB.

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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