Cot Report

[Samirofi]

USD REMAINS FAVORED WITH MINOR SHIFTS IN SENTIMENT
Data in this report cover up to Tuesday Mar 3 & were released Friday Mar 6.

• Every currency continues to be held net short against the USD
but changes this week were immaterial for most currencies. The
net long USD position is at $42bn (see chart), having narrowed by
small amounts for each of the last five weeks. This week’s data
provides few clues as to how sustainable the late week USD rally
will prove; however we expect that the breaking of spot ranges is
an important bullish shift.

• Traders are bearish the commodity currencies, holding both AUD
and CAD net short (-$3bn and -$5bn, respectively), but with minimal
changes this week.

• EUR remains the largest held net short at $24.1bn with a four
week, $4.1bn run of improving sentiment largely driven by a decline
in gross shorts (middle right, p2). The net short $2.6bn position
in GBP is relatively modest, however this week’s $0.5bn widening
is notable in that it marks a reversal of the improvement
that had been observed over the past five weeks.

• Investors have added risk to CHF and JPY in a manner that has
provided for a minor deterioration in sentiment toward both. The
build in gross shorts for CHF and JPY follows several consecutive
weeks of covering and may provide early clues to a bearish turn.

[Samirofi]

BULLISH USD SENTIMENT BROADENS FURTHER
Data in this report cover up to Tuesday March 10 & were released Friday March 13.

• Subtle shifts in the CFTC FX positioning data continue. The core
themes are: the market is bullish the USD, holding every currency
net short against the USD. EUR continues to make up the bulk of
that position; but the building short AUD position is now nearly as
large as JPY, marking a significant change. Also, FX participants are
taking increasing levels of risk, building on existing gross long and
short positions across most currencies (this theme is somewhat
hidden when looking just at net positions).

• The divergence in sentiment between CAD and AUD has continued
to build (middle left, p2) following this week’s build in gross
short AUD positions, pushing the net contract position to a fresh
record. CAD’s unchanged $3.1bn net short is relatively modest in
comparison to the $5.9bn net short AUD position
.
• EUR sentiment is bearish, its $24.2bn net short the largest held
among its peers. The minor change this week obscures sizeable
builds to both sides, with fresh longs likely caught flat footed by
the subsequent decline in spot.

• Investors added to bearish JPY, GBP, and CHF positions this
week, reinforcing the bias toward broad-based USD strength vs. all
of the majors. Sentiment toward all three has deteriorated for a
second consecutive week, hinting to early signs of a trend.

[Samirofi]

EUR SHORT REACHES FRESH RECORD
Data in this report cover up to Tuesday March 24 & were released Friday March 27.

• Three themes this week including: 1) EUR traders built substantially
on their short position, driving it to a new record; 2) Traders
pared risk towards AUD, CAD, NZD, JPY and GBP; 3) The bearish
trend continued in EUR and CHF; with the bullish trend in gold
increasing; while other trends are fairly neutral.

• EUR sentiment has deteriorated for a third consecutive week
with the net short widening $4.5bn — at the fastest pace since
May 2014. The net short position is a fresh record in terms of contracts,
however the $30.2bn value of the position has yet to reach
the $33.3bn record from June 2012 (top right p2).

• Investors have pared back risk in JPY, GBP, AUD, and CAD, the
latter seeing its gross long and short positions pared back for a
third consecutive week. Overall changes to CAD sentiment hint to
considerable uncertainty following a deterioration into mid-
March. The net short $2.6bn CAD position is modest within the
broader historical context.

• CHF sentiment appears increasingly vulnerable around neutral
levels, with changes over the past two weeks driven by gross
longs. This week’s $0.8bn deterioration has pushed CHF back into
net short territory at -$0.5bn.

[Samirofi]

EUR SHORT REACHES FRESH RECORD
Data in this report cover up to Tuesday March 24 & were released Friday March 27
.
• Three themes this week including: 1) EUR traders built substantially
on their short position, driving it to a new record; 2) Traders
pared risk towards AUD, CAD, NZD, JPY and GBP; 3) The bearish
trend continued in EUR and CHF; with the bullish trend in gold
increasing; while other trends are fairly neutral.

• EUR sentiment has deteriorated for a third consecutive week
with the net short widening $4.5bn — at the fastest pace since
May 2014. The net short position is a fresh record in terms of contracts,
however the $30.2bn value of the position has yet to reach
the $33.3bn record from June 2012 (top right p2).

• Investors have pared back risk in JPY, GBP, AUD, and CAD, the
latter seeing its gross long and short positions pared back for a
third consecutive week. Overall changes to CAD sentiment hint to
considerable uncertainty following a deterioration into mid-
March. The net short $2.6bn CAD position is modest within the
broader historical context.

• CHF sentiment appears increasingly vulnerable around neutral
levels, with changes over the past two weeks driven by gross
longs. This week’s $0.8bn deterioration has pushed CHF back into
net short territory at -$0.5bn.

[Samirofi]

SENTIMENT SHIFTS TO A MORE BALANCED OUTLOOK
Data in this report cover up to Tuesday Mar 31 & were released Friday Apr 3.

• Sentiment shifts to a more balanced USD outlook. The net long
USD position has been on a slow trend lower since reaching its
largest position of $49bn back in November 2014, it now sits at
just $41bn. The bulk of this position is held in EUR, accounting for
a -$30bn net short; while two currencies (NZD and CHF) have recently
shifted to net long positions vs. USD. In addition, the bearish
trend of all the remaining currencies held net short (CAD, AUD,
GBP and JPY) is decreasing. Accordingly, the weekly data is warning
of a slow shift towards a more neutral currency stance.

• The net short CAD position, now at just -$2.3bn, has narrowed
over the last four weeks. This week traders pared risks, closing
small pieces of both the gross long and short position, leaving a
minor narrowing of the net position. The market continues to be
bearish CAD but is lacking momentum.

• EUR was alone this week in showing a deterioration in sentiment,
with a small widening of the net short contract position
pushing it to a fresh record with a $30.4bn value (in value terms
the position has yet to reach the $33.4bn from mid-2012 — see
top right p2).

• JPY sentiment has materially improved in 2015 with a shift largely
driven by a closing of gross shorts (middle right p2). JPY is no
longer the second largest held short, its $2.5bn position now exceeded
by GBP’s $3.4bn.

[Samirofi]

CHF, NZD & MXN ALL HELD NET LONG AGAINST USD
Data in this report cover up to Tuesday Apr 14 & were released Friday Apr 17.

Traders are increasingly cauous with their broad based bullish
USD view. The net long USD posioned narrowed again and now
sits at $39bn, (compared to its November posion of $49.4, it is
20% narrower). In addion, MXN, NZD and CHF are now all held
net long. Finally, all other posions have experienced at least
some form of profit taking. Accordingly senment has shied, it
remains bullish the USD, but is no longer as strong as it was.
• There were limited changes to the net CAD and AUD posions
this week, at ‐$2.4bn and ‐$3.2bn, respecvely. However looking
at just the gross short side, the two have diverged materially over
the last several months (see chart on page 2), with a more aggressive
short AUD posion, likely reflecng the beer fundamental
posion of CAD.
• EUR is the largest net short (see chart on page 2) and is narrowing.
The data suggest that traders are pairing risk to both the long
and short side of EUR.
• JPY’s net short is now relavely small compared to the others
and is at just ‐$2.4bn. The posion has disconnected form USDJPY,
which has been trading in a range most of the year.
• The net MXN posion swung to long with a material buying. Typically
when currencies shi from net short to net long it is considered
a buy signal.

[Samirofi]

BULLISH USD SENTIMENT CONTINUES TO FADE
Data in this report cover up to Tuesday Apr 21 & were released Friday Apr 24.


• Sentiment towards the USD is bullish but continues to fade. The net position of $37.7bn has narrowed since its high of $49.5bn in November 2014. The bulk of the position continues to be held against EUR, with the short JPY having narrowed to just $1.5bn. Overall, the data suggest that sentiment for a strong USD is slowly fading, but that traders are still far from bearish. We see this as reflective of a range bound environment, that over the medium term favours USD strength.

• Bearish sentiment toward CAD and AUD continues to moderate,as it has since mid-March. Each have seen risk added to both the long and short side (bottom right p1, middle right p2), underscoring conflicted sentiment.

• EUR sentiment was little changed w/w, widening a relatively modest $0.5bn to $28.8bn. Investors have added risk to both the long and short side over the past two weeks, underscoring the current environment of uncertainty.

• Bearish JPY sentiment continues to moderate, currently at $1.5bn, its narrowest level since late 2012. Improvement since late 2014 has been primarily driven by short covering, with increasing longs observed since February.

[Samirofi]

BULLISH USD SENTIMENT SOFTENS FURTHER
Data in this report cover up to Tuesday April 28 & were released Friday May 1.

• The net long USD position narrowed to just $35bn, the smallest position since September 2014, signaling ongoing short covering as bullish USD conviction fades. However, with all currencies (except NZD and CHF) held net short, sentiment remains USD bullish, just to a lesser degree than at the height of recent USD strength.

• Short covering in CAD and AUD continued (p2 middle left), likely on the back of significant currency and commodity rallies; however there has yet to be a substantial build on the gross long side, implying that for now traders are losing conviction on the short side but still lack conviction to be long.

• Bearish EUR sentiment has softened further with the net short position narrowing $1.7bn to $27.1bn. A sizeable covering of gross shorts suggests continued capitulation on the part of EUR bears, while the long side hints to confidence as bulls build for a third consecutive week.

• Investor sentiment toward JPY has shifted into near balance for the first time since late 2012, the result of relentless short covering on a YTD basis (p2 middle right) —$7.4bn in aggregate.

• MXN and GBP were the only two currencies that saw an increase in short positions, likely for domestic reasons, like the upcoming U.K. election.

[Samirofi]

INVESTORS COVER SHORTS IN AUD, CAD, GBP, EUR

Data in this report cover up to Tuesday May 5 & were released Friday May 8.

• The bullish USD position continued to soften on the back of broad short covering in AUD, CAD, GBP and EUR ahead of key U.S.employment data. The aggregate long USD position now stands at$33.2bn, its lowest level since mid-September (top right p1). We note that EUR currently makes up 80% of the aggregate USD position, with most of the remaining currencies far closer to balance.

• Sentiment toward CAD and AUD has improved for a third consecutive week, putting the AUD position in balance for the first time since late September—a time when AUDUSD was near 0.88 (top left p4). CAD sentiment has also improved materially, however it continues to be held net short with a modest $0.8bn position (middle left p2).

• Bearish EUR sentiment remains sizeable with a $26.6bn net short, having narrowed modestly from $30.4bn in late March (top right p2). The position leaves EUR vulnerable to periods of short covering, as we have observed over the past several weeks.

• JPY was one of the few currencies to see a deterioration in sentiment this week, with the net short position widening $2.7bn to $3.3bn. The magnitude of the deterioration was notable, the largest since August 2014—hinting to the risk of a renewed build

.

[Samirofi]

FX SENTIMENT REPORT - COMMITMENT OF TRADERS—CFTC

AGGREGATE USD LONG CONTINUES TO FADE
Data in this report cover up to Tuesday May 12 & were released Friday May 15.

• The aggregate long USD position has come further into balance, falling by $3.3bn w/w to $29.9bn on the back of continued short covering across most currencies. The softening in bullish USD sentiment has accelerated over the past seven consecutive weeks and is now well below the $49.4bn record from late November.

• CAD sentiment is nearly balanced with a net short position of $0.3bn, a notable shift from the $3.1bn level from early March with the bulk of the improvement driven by short covering. For AUD, bullish sentiment has improved further with a fourth consecutive week of short covering allowing for a rise in the net long to $0.4bn.

• EUR sentiment remains overwhelmingly bearish, the $25.1bn net short position representing nearly 84% of the aggregate USD long.The position has improved only modestly since its $30.4bn level from late March, with the entire shift coming on the back of short covering over five of the past seven weeks. Recent EUR gains underscore the impact of short covering, hinting to further upside in the event of a continued adjustment.

• JPY risk has been pared further (middle chart p2) highlighting a considerable degree of uncertainty as investors reduce risk on both sides.