Managed Money Positioning: IMM Currency futures

Covering the week ending December 6, 2016

Ole S. Hansen
Head of Commodity Strategy

867 -25.169 -7.1 111% 9.342 USD 29.911 -33.105 -25.Overview 6-Dec-16 Long Change Short Change Net Net Chg.540 -36.590 31.619 -97.352 -9.819 AUD 48.937 CAD 21.593 -510 -3.304 35.139 MXN 18.256 -2.556 4.517 27.4 0.872 -161.619 -695 72.641 -2.066 434 -1.0 -1% -12.637 120.367 2.0 0% 59.870 -33.946 -17.0 -2% 26.6 -4% -21.129 -54.3 -0.238 897 -6.3 13% IMM currency futures: Speculative positioning USD billion EUR JPY GBP CHF CAD.080 -0. Net Net Chg.952 -2.168 35. Pct 1 yr high 1 yr low (lots) (lots) bn USD bn USD (lots) (lots) EUR 123.668 -3. AUD & NZD MXN USD 60 50 40 30 20 10 0 -10 -20 -30 -40 -50 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 2 . Chg.538 -3.685 -1.890 -18.243 108.3 0.472 39.390 -12.431 20.3 0.397 -1.267 NZD 27.937 -33.572 JPY 74.1 -1% -13.718 237.8 71.402 -114.696 -3.8 -3.063 -3.0 0.047 CHF 9.2 -0.6 -0.1 4% 10.259 -66.871 -86 1.534 -77.403 -6.684 -15.158 418 -1.859 -3.7 3.397 GBP 43.420 -89.274 -6.407 -8.

40 -50 1.30 100 100 1.95 0 100 0 -50 -10 110 1.90 100 20 90 50 10 0.00 -100 -20 120 -30 -150 -40 1.20 1.05 -200 130 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Nov-12 May-13 Nov-13 May-14 Nov-14 May-15 Nov-15 May-16 Nov-16 3 .70 1. inverse Net Short Long JPY.00 -150 1.10 -200 1.30 -100 -300 1.85 200 70 40 150 80 30 0.20 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 1 0 0 0 lots IMM C HF: Money manager positioning U SD CHF 1 0 0 0 lots IMM JPY: Money manager positioning U SD JPY Net Short Long CHF.80 Thousands 150 200 1. inverse 50 0. Majors 1 0 0 0 lots IMM EUR: Money manager positioning E U RUSD 1 0 0 0 lots IMM GBP: Money manager positioning G BP USD Net Short Long EUR Net Short Long GBP 300 1.40 200 1.50 0 -100 1.60 50 0 1.

inverse 150 0.10 1.15 0.90 200 11 40 150 0.80 0 0 1.05 150 100 1.95 200 1.00 100 1.25 0.70 -50 -50 1.60 -100 1.80 15 20 50 10 0.45 -100 0.75 17 0 0 0.85 13 30 100 0.90 50 50 1.Commodity currencies 1 0 0 0 lots IMM AUD: Money manager positioning 1 0 0 0 lots IMM C AD: Money manager positioning U SD CAD A U DUSD Net Short Long AUD Net Short Long CAD.60 -150 23 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 4 .55 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 1 0 0 0 lots IMM NZD: Money manager positioning N ZD USD 1 0 0 0 lots IMM MXN: Money manager positioning U SD MXN Net Short Long NZD Net Short Long MXN.65 21 -20 -100 -30 0.35 0.70 19 -50 -10 0. inverse 50 0.

Others 1 0 0 0 lots IMM MXN: Money manager positioning U SD MXN 1 0 0 0 lots IMM RUB: Money manager positioning U SD RUB Net Short Long MXN. inverse Net Short Long RUB. inverse 200 11 35 20 30 150 30 13 25 100 40 15 20 50 15 50 17 0 10 60 19 5 -50 70 0 21 -100 80 -5 -150 23 -10 90 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 5 .

Managed Money and other • It covers most US futures markets from stocks. commodity pool operators (CPO). oil) publishes its report every Monday around 13:00 CET • It breaks down the open interest in futures markets where 20 or more traders hold positions  Producer/Merchant/Processor/User. Swap Dealers. and unregistered funds  They are likely to have tight stops and no underlying exposure that is being hedged  This makes them most reactive to changes in fundamental or technical price developments  It provides views about major trends but also helps to decipher when a reversal is looming 6 . and IMM currencies to commodities • Our focus and that of others is primarily on the behavior of Managed Money traders:  Commodity trading advisors (CTA).What is the COT report? • The Commitments of Traders report is issued by the US Commodity Futures Trading Commission (CFTC) • It is released every Friday at 15:30 Eastern time with data from the week ending the previous Tuesday • The ICE exchange (Brent. Gas. rates.

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