The reporting period was ahead of Fed’s announcement of QE infinity. During the week, US dollar rallied against major currencies. Although the Fed announced to resumed QE, the purchase of US$700B of assets was small as a percentage of US GDP. Meanwhile, as other central banks have announced to join the QE camp, US dollar was treated as safe haven. As suggested in the CFTC Commitments of Traders report in the week ended March 24, NET LENGTH in USD Index gained +5 368 contracts to 12 520. Speculative long positions added +2 914 contracts and short positions dropped -2 454 contracts. Concerning European currencies, NET LENGTH in EUR futures soared +28 795 contracts to 61 290. NET LENGTH for GBP futures declined -7 756 contracts to 10 884.

On safe-haven currencies, NET LENGTH on CHF futures dropped -2 483 contracts to 4 891. NET LENGTH on JPY futures plunged -9 072 contracts to 23 863. On commodity currencies, NET SHORT for AUD futures dropped -3 526 contracts to 25 207. Speculative long positions declined -8 222 contracts while plunged -11 748 contracts. Separately, NET SHORT for NZD futures fell -4 2259 contracts to 16 016 during the week while NET SHORT for CAD futures soared +19 622 contracts to 29 245.

 

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