Update: 18 November 2013
CFTC "Commodity Futures Trading Commission" data table reports:
BULLISH USD SENTIMENT HAS SOFTENED
Data in this report cover up to Tuesday Dec 16 & were released Friday Dec 19.
• USD bullish sentiment has softened, with today’s data marking
the fourth consecutive week of a narrowed USD long position.
Most of the change has come from closing EUR, JPY, CHF, GBP and
AUD shorts. The shift is noteworthy and is an early warning of a
potential shift in bullish USD sentiment. All the currencies are still
held net short against the USD; however it is noteworthy that NZD,
CHF, CAD, GBP and MXN all have net short positions smaller than
• The net short EUR position has narrowed to its smallest since
July, warning that sentiment towards EUR is turning, even as the
currency reached fresh lows today.
• This week’s $0.9bn narrowing in bearish AUD sentiment is the
largest in 8 months, pulling the net short position to $2.8bn. A
fourth consecutive week of building gross longs highlights a demand
for AUD exposure while leaving sentiment vulnerable in the
event of a renewed focus on downside risk. Bearish CAD sentiment
is modest and unchanged this week at $1.4bn.
• A $1.5bn narrowing in the net short ($9.3bn) JPY position highlights
bears’ continued vulnerability to periods of risk aversion,
with a second consecutive week of panic-induced short covering.
BEARISH EUR SENTIMENT HAS ROOM TO GROW
Data in this report cover up to Tuesday Jan 20, ahead of policy meetings at the Bank
of Canada and ECB. Data were released Friday Jan 23.
• Sentiment favors long USD positioning, at $48bn in aggregate
and having softened somewhat in response to short covering in
CHF and JPY. The largest short position is in EUR, making up 54% of
the total USD position. For several currencies, there is risk of a
further build in short positions.
• Traders added to net short EUR positions for the fifth consecutive
week, suggesting a build in bearish sentiment leading into the
ECB decision. At $26bn, the net position is still below levels held
last November and accordingly has room to grow adding weight to
an already depreciating EUR. GBP sentiment has deteriorated for a
fifth consecutive week, to $4.3bn—its widest level since mid-2013.
• CAD sentiment has deteriorated for a fourth consecutive week,
with rising gross shorts adding to existing pressure from declining
longs. The $2.4bn net short position is now at its widest level since
May, steadily narrowing the gap to AUD (middle left p2).
• SNB-driven turmoil has driven short covering in both JPY and
CHF, with the latter’s net short position more than halving to
$1.4bn — a result of the largest decline in gross shorts since the
2013 taper tantrum. For JPY, the broader market tone continues
to dominate, leaving the net short $8.2bn at its narrowest since
SURPRISINGLY SMALL SHIFTS IN SENTIMENT
Data in this report cover up to Tuesday Jan 27 & were released Friday Jan 30.
• This week’s changes were immaterial; with every currency still
held net short against the USD but with little evidence of any desire
to add to these shorts. The net USD position narrowed to
$46bn, mainly on a paring in short JPY positions.
• CAD traders, facing low oil prices and building BoC risk, hesitated
to build out short positions and instead the shift this week was a
building in gross longs; which reduced the net short CAD position
to $1.9bn. A surprising shift considering the backdrop. AUD and
NZD saw limited positioning adjustments.
• The post-SNB environment of elevated uncertainty has been
beneficial to investor sentiment toward JPY and CHF, forcing traders
to pare back shorts over each of the past two weeks. While JPY
remains the largest held net short at $6.9bn, its position has narrowed
considerably since its $10bn level from Jan 13. For CHF, its
net short has been cut by 2/3, to $1bn from $3.2bn over the same
• Sentiment toward EUR and GBP was remarkably stable week
over week, highlighting investor comfort with current positioning
as well as a hesitancy to build. The EUR net short position is sizeable
at $26.3bn, however it has yet to reach the $28.1bn level from
November. For GBP, the $4.3bn net short is unchanged from last
week—its widest level over the past year.
EUR SENTIMENT DETERIORATES TO 2012 CRISIS LEVELS
Data in this report cover up to Tuesday Feb 3 & were released Friday Feb 6.
• A clear divergence in sentiment this week saw short positions in
EUR, AUD and CAD widen as investors pared back risk in JPY, CHF
and GBP. For EUR, a build in the extended net short position suggests
renewed confidence in the potential for further downside,
pushing it to levels last seen in the 2012 crisis period. The aggregate
long USD position remains stable, largely composed of the
short EUR, with all other currencies held short as well.
• EUR sentiment has deteriorated, with this week’s $1.9bn widening
pushing the net short to $28.2bn—its widest level since the
2012 crisis period (top right p2). Details highlight that the erosion
in sentiment continues to be driven by a steady build in gross
shorts (middle right p2) and hints to renewed confidence among
• Sentiment toward CAD & AUD has deteriorated, albeit for different
reasons as investors appear to be paring back CAD risk while
adding to bearish AUD positions. We note that the recent deterioration
in CAD sentiment has failed to match the magnitude of the
decline in spot (middle right p1), a contrast to AUD sentiment that
has deteriorated in tandem (top left p4).
• JPY, CHF, and GBP all saw their net short positions narrow this
week, the result of a paring back in risk (both long and short positions
falling). The JPY net short $6.3bn position is now at its narrowest
since November 2012.
EARLY CLUES OF SHFITING SENTIMENT
Data in this report cover up to Tuesday Feb 10 & were released Friday Feb 13.
• The net long USD position was relatively stable this week at
$47bn; however there are subtle changes, early warnings that sentiment
might be in the midst of shifting. Most importantly, the
gross short position in all the majors (EUR, GBP, JPY and CHF) narrowed,
suggesting that there is some profit taking and that traders
lack the conviction to add to established positions.
• The net change in CAD was immaterial however it was one of the
only currencies that saw an increase in the net short position. Still
the net position of -$2.7bn is small compared to other currencies
and the lack of a significant build suggests a hesitancy by traders.
For AUD there was no material change this week, with the net
position of $4.1bn significantly larger than CAD’s.
• Bearish EUR sentiment has moderated for the first time since
mid-December (middle right p2), with this week’s modest $0.6bn
narrowing in the net short position to $27.5bn hinting to a reluctance
on the part of investors. GBP’s net short $3.7bn position is
relatively small, and bearish sentiment has softened over the past
• The net short JPY position has narrowed to $5.8bn, a level last
seen in late 2012 with the recent improvement in sentiment largely
driven by short covering. For CHF we note a paring back in risk
to both sides, highlighting considerable uncertainty on the part of