Significant position changes in Euro, Yen - BBH

22/06/2015 02:52 AST

Marc Chandler, Global Head of Currency Strategy at BBH, shares his observations based on the latest speculative positioning in the futures market, noting that significant position changes were limited to the euro and yen in the CFTC reporting week ending June 16.

Key Quotes

"Significant position changes were limited to the euro and yen in the CFTC reporting week ending June 16. Of the remaining 10 gross positions we track only one was above 5k contracts (gross short Australian dollar position was cut by 9.8k to 69.5k). There was only one other gross currency adjustment of more than 4k contracts, and that was the gross long Swiss franc position, which was trimmed by a third (4.7k contracts) leaving 8.9k contracts."

"The gross long euro position jumped by 30.1k contracts to 82.7k. This was the largest accumulation in a year, which itself was the biggest since January 2011. The gross short position was trimmed by 10% (18.5k contracts) to 172.1k. The euro bottomed in mid-March, but until this past week, the gross long position was flat to lower. In fact, it made a new low for the year in late-May. Up until now, the adjustment has been confined to covering shorts. During this most recent reporting period, the euro averaged about $1.1275. This is the middle of the $1.10-$1.15 range. These new longs may be in weak hands; vulnerable to a near-term setback."

"The gross long yen position increased by roughly the same percentage as the gross long euros. It rose by 22.3k contracts to 64.8, but such large swings in positioning are more common in the yen futures. The gross short position, which has grown rapidly in recent weeks, was trimmed by 13.3k contracts to 145.4k. The dollar averaged about JPY123.25 during the reporting period."

"The net short US 10-year Treasury futures position swell to 96.4k contracts from 36.6k. The longs cut 29.1k contracts, leaving 383.3k. The gross shorts grew 30.8k contracts to 479.8k. The US 10-year yield peaked on June 11. The yield has shed 25 bp since and it finished last week with the lowest yield since June 1."

"The speculative positioning in the crude oil futures was essentially unchanged. The net long position increased by 1.3k contracts to 327.1k. The longs rose by 1.1k contracts to 484.9, while the shorts were reduced by 100 contracts to 157.8k."

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