GLOBAL FX STRATEGY FX SENTIMENT REPORT

Transcription

1 Monday, November 26, 218 Bears Driving Continued Deterioration In EUR Net As Longs Bail Data in this report cover up to Tuesday Nov 2 & were released Monday Nov 26. This week s speculative positioning adjustments were limited to EUR (bearish) and JPY (risk pared, net neutral) with no meaningful changes across all of the other reporting currencies. JPY remains the largest held net, followed by EUR, AUD, and GBP. Speculators have been adding (modestly) to CAD risk over the past few weeks with a slight build in both gross and gross positions. The net position remains close to neutral however, and one of the smallest among the reporting currencies at $.5bn. The bearish AUD position remains extended at -$4.3bn. Speculators have been paring risk over the past three weeks, delivering a cumulative $.7bn narrowing in the net and driving the bulk of the improvement from the extended $5.2bn net reached in late September. Bearish EUR positioning continues to build as bulls liquidate their gross s ($.4bn w/w) and bears add to gross s ($1.1bn w/ w). In contract terms, the gross position has climbed above 2K to reach levels last seen ahead of the 217 French election. The bearish -$6.7bn net position is at levels last seen in March 217. Modest covering in GBP drove the bulk of this week s $.4bn narrowing in the net to -$3.5bn. JPY remains the largest held net among the reporting currencies with a sizeable $11.1bn position. This week s adjustments reveal a near-equal paring of risk to both sides with a $.9bn reduction in gross s and a $.7bn reduction in gross s. Sentiment $mns 2-Nov Bias Trend Position w/w chg. CAD neutral neutral AUD bearish neutral -4, NZD bearish neutral -1, MXN neutral neutral EUR bearish increasing -6,712-1,488 GBP bearish decreasing -3, CHF bearish neutral -2, JPY bearish neutral -11, Gold bullish increasing 1,87 2,198 Total USD pos'n (excl. gold) 29,453 1,15 CAD NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 1, CAD Date Net Long Short Net Net w/w Open Int. 2-Nov ,59 45,348-6,289-3,498 14, Nov ,773 39,564-2, ,999 6-Nov ,753 36,385-2,632 7,23 116,284 3-Oct ,436 39,91-9,655-2, , CAD VS NET POSITION USDCAD USDCAD (R) FOLLOW US ON Shaun Osborne Chief FX Strategist shaun.osborne@scotiabank.com AGGREGATE USD POSITION $ bn CAD: GROSS LONG, SHORT & NET USD Position Eric Theoret, CFA, CMT FX Strategist eric.theoret@scotiabank.com -5 Net Gross Long -1 Gross Short

2 Monday, November 26, AGGREGATE USD POSITION $ bn NET LONG / SHORT POSITION VS USD bn JPY EUR AUD GBP CHF NZD CAD MXN Aggregate USD Position GBP: GROSS LONG, SHORT & NET -18 Net Gross Long Gross Short JPY: GROSS LONG, SHORT & NET -2 Net Gross Long Gross Short EUR: GROSS LONG, SHORT & NET 52 WK RANGE NET LONG/SHORT POSITION $ bn Net Gross Long Gross Short -3 Nov 18 *red column denotes 52 week range of $ value of net position; black line is current net position. JPY EUR AUD GBP CHF NZD CAD MXN

3 Monday, November 26, GBPUSD (R) -9 EUR NON-COMMERCIAL POSITIONING GBP NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 1, EUR ($MM) Position - Contracts of 62,5 GBP 2-Nov -6, ,633 24,862-47,229-1,21 535,77 2-Nov -3,475 37,71 81,188-43,478 3, , Nov -5, ,86 198,879-37,19 9,824 52,24 13-Nov -3,821 38,66 85,713-47,17 9, ,52 6-Nov -6, , ,816-46,843-14,181 51,193 6-Nov -4,65 31,67 88,469-56,799-4, ,514 3-Oct -4, ,691 19,353-32,662-2,358 54,458 3-Oct -4,168 35,778 88,26-52,482-5, ,339 EUR VS NET POSITION EURUSD (R) JPY VS NET POSITION EURUSD -1 USDJPY (R) -15 USDJPY JPY NON-COMMERCIAL POSITIONING CHF NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 12.5MM JPY ($MM) Position - Contracts of 1, CHF 2-Nov -11,92 33, ,527-1,65 2, ,144 2-Nov -2,464 17,418 37,43-19,6-1,23 81,1 13-Nov -11,235 4, ,486-12,294-13, ,73 13-Nov -2,39 15,841 34,443-18,62 1,346 77,629 6-Nov -9,821 33,6 122,182-89,122 2,498 29,453 6-Nov -2,487 16,747 36,695-19,948-5,426 77, 3-Oct -1,123 28,854 12,474-91,62 1,184 23,113 3-Oct -1,86 18,851 33,373-14,522 2,583 75, GBP VS NET POSITION CHF VS NET POSITION GBPUSD -5 USDCHF (R) USDCHF

4 Monday, November 26, AUD VS NET POSITION AUDUSD (R) AUDUSD NZDUSD (R) AUD NON-COMMERCIAL POSITIONING NZD NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 1, AUD ($MM) Position - Contracts of 1, NZD 2-Nov -4,269 15,968 75,148-59, ,872 2-Nov -1,313 15,489 34,836-19,347 1,521 53, Nov -4,315 18,8 78,58-59,78 6, , Nov -1,411 11,138 32,6-2,868 4,858 5,15 6-Nov -4,815 2,8 87,27-66,445 3,967 15,565 6-Nov -1,734 1,434 36,16 -,726 9,35 51,288 3-Oct -5,3 22,379 92,791-7, ,84 3-Oct -2,296 8,956 43,987-35,31-1,983 59, MXN VS NET POSITION - USDMXN (R) -5 USDMXN MXN NON-COMMERCIAL POSITIONING NYMEX Crude NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 5, MXN ($MM) Position - Contracts of 1 barrels 2-Nov ,611 58,528 14,83 6, ,3 2-Nov 19, , , ,187-14,11 1,998, Nov ,888 62,61 7, , Nov 21, ,445 18, ,198-22,585 2,11,793 6-Nov ,588 6,552 7,36-26, ,85 6-Nov, ,562 15,779 43,783-28,855 2,75,239 3-Oct ,644 59,835 33,89-24, ,33 3-Oct 28, , ,33 432,638-22,64 2,93, NZD VS NET POSITION OIL (WTI) VS NET POSITION NZDUSD WTI (R) 35 $/barrel

5 Monday, November 26, NATURAL GAS VS NET POSITION Natural Gas (R) $/mmbtu GOLD VS NET POSITION -5 Gold (R) -1 $/oz. 1,35 1,3 1, 1,2 1,15 15 S&P VS NET POSITION (e-minis) S&P 5 (R) 5 3, 2,9 2,8 2,7 2,6 2, Y VS NET POSITION 1Y Treasury Yield (R) %

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