Friday, January 5, 218 Bullish EUR Position Reaches Fresh Record High Data in this report cover up to Tuesday January 2nd & were released Friday January 5th. The EUR net position has climbed to a fresh record high on the back of an impressive $5.6bn w/w rise to $19.3bn. The historical precedent is not encouraging and EUR appears vulnerable (see below). Most of the other reporting currencies saw minor positioning adjustments as market participants added to risk in CAD, AUD and GBP while paring risk in CHF. The net JPY position widened modestly. EUR is the only notable net, and JPY the only notable net. All of the positions in the other reporting currencies are relatively minor and close to neutral (bottom p2). 15 5-5 FOLLOW US ON TWITTER @SCOTIABANKFX Shaun Osborne Chief FX Strategist 416.945.4538 shaun.osborne@scotiabank.com AGGREGATE USD POSITION $ bn Eric Theoret, CFA, CMT FX Strategist 416.863.73 eric.theoret@scotiabank.com USD Position Bullish CAD sentiment continues to moderate. The $1.2bn net is well off the $6.1bn multi-year high from early October. Details suggest a considerable loss of confidence among CAD bulls and a recent build in bearish positions (bottom right p1). AUD bears are driving a continued deterioration in AUD sentiment, delivering the bulk of the $.5bn w/w widening in the net to $1.6bn a fresh multi-year low. Bullish EUR positioning has reached a fresh record high in gross, net, contract and value terms. This week s positioning adjustments were impressive as bulls drove the bulk of the $5.6bn w/w build in the net, to $19.3bn. Bears contributed to the improvement with a $.9bn liquidation in gross s. EUR appears vulnerable on the basis of extended positioning and the historical precedent is clear, with notable turns in sentiment observed in 29, 211, and 213/14. Sentiment $mns 2-Jan Bias Trend Position w/w chg. CAD bullish neutral 1,178-189 AUD bearish increasing -1,568-514 NZD bearish neutral -1,27 31 MXN bullish neutral 897-19 EUR bullish increasing 19,2 5,616 GBP bullish increasing 1,379 319 CHF bearish increasing -2,88-332 JPY bearish increasing -13,555-74 Gold bullish increasing 21,512 4,68 Total USD pos'n (excl. gold) -4,311-4,174 CAD NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 1, CAD Date Net Long Short Net Net w/w Open Int. 2-Jan 1,178 49,297 34,558 14,739-2,67 126,829 26-Dec 1,367 42,372,26 17,346-28,555 116,559 19-Dec 3,564 68,451 22,55 45,91 3,941 155,22 12-Dec 3,261 62,198 2,238 41,96-56 149,2-15 1 5-5 CAD VS NET POSITION USDCAD (R) USDCAD -1 1 5-5 CAD: GROSS LONG, SHORT & NET -1 Net Gross Long Gross Short -15 1.2 1. 1.3 1.35 1.4 1 5-5 -1-15 1
Friday, January 5, 218 5 AGGREGATE USD POSITION $ bn -5 21 211 212 213 213 214 215 216 217 Aggregate USD Position 1 5-5 -1 JPY: GROSS LONG, SHORT & NET Net -15 Gross Long Gross Short -2 1 5-5 -1-15 -2 GBP: GROSS LONG, SHORT & NET 3 2 1-1 EUR: GROSS LONG, SHORT & NET 3 2 1-1 -1-1 -2-2 Net Gross Long Gross Short -1-1 Net Gross Long Gross Short -3-3 2. 15. 1. 5.. -5. -1. -15. -2. NET LONG / SHORT POSITION VS USD bn JPY CHF AUD NZD MXN CAD GBP EUR 3 2 1-1 -2-3 52 WK RANGE NET LONG/SHORT POSITION $ bn *red column denotes 52 week range of $ value of net position; black line is current net position. JPY CHF AUD NZD MXN CAD GBP EUR 2
Friday, January 5, 218 15 1 EUR VS NET POSITION EURUSD 1. 1.2 15-1 GBP VS NET POSITION GBPUSD 1.35 5-5 -1 EURUSD (R) 1.15 1.1 1.5 1. -35-6 -85-11 GBPUSD (R) 1.3 1. 1.2 EUR NON-COMMERCIAL POSITIONING GBP NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 1, EUR ($MM) Position - Contracts of 62,5 GBP 2-Jan 19,2 236,88 18,94 127,868 35,72 542,622 2-Jan 1,379 93,611 77,376 16,235 3,559 211,627 26-Dec 13,659 28,913 116,765 92,148 5,924 497,744 26-Dec 1,6 76,354 63,678 12,676-7,712 19,393 19-Dec 12,761 198,398 112,174 86,224-27,665 485,622 19-Dec 1,76 77,19 56,721 2,388 9, 183,783 12-Dec 16,716 26,27 92,138 113,889 2,783 55,744 12-Dec 948 82,611 71,223 11,388 4,982 28,12 35 5-55 -85 JPY VS NET POSITION USDJPY 18. 113. 15-15 CHF VS NET POSITION USDCHF.94.96.98 1. -115 USDJPY (R) -145 118. USDCHF (R) -3 1.2 1.4 JPY NON-COMMERCIAL POSITIONING CHF NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 12.5MM JPY ($MM) Position - Contracts of 1, CHF 2-Jan -13,555 39,592 161,358-121,766-5,68 23,564 2-Jan -2,88 24,984 41,216-16,232-2,33,662 26-Dec -12,815 44,269 16,355-116,86-1,713 232,428 26-Dec -1,7 31,959 45,861-13,92 3,493 81,655 19-Dec -12,664 36,874 151,247-114,373 223,424 19-Dec -2,28 29,8 47,27-17,395 11,37 78,872 12-Dec -12,563 31,747 145,87-114,123 144,581 12-Dec -3,626 19,349 48,114-28,765 82 95,115 3
Friday, January 5, 218 85 7 55 4 AUD VS NET POSITION AUDUSD 1-5 -2 AUDUSD (R).8.78.76.74.72.7 4 3 2 1-1 NZD VS NET POSITION NZDUSD (R) NZDUSD -2.74.72.7.68 AUD NON-COMMERCIAL POSITIONING NZD NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 1, AUD ($MM) Position - Contracts of 1, NZD 2-Jan -1,568 45,1 65,21-2,26-6,387 123,176 2-Jan -1,27 15,59 32,494-16,985 61 45,141 26-Dec -1,54 38,21 51,849-13,639-979 11,5 26-Dec -1,238 18,14 35,726-17,586-967 47,219 19-Dec -97 38,12 5,672-12,66-53,38 15,27 19-Dec -1,159 19,456 36, -16,619-3,191 48,385 12-Dec 3,78 93,384 52,664 4,72 392 157,29 12-Dec -931 23,811 37,239-13,428-535 74,192 1 1 5 MXN VS NET POSITION USDMXN -5 USDMXN (R) 17. 18. 19. 2. 21. 22. 65 55 45 35 OIL (WTI) VS NET POSITION WTI (R) $/barrel 65 6 55 5 45 4 MXN NON-COMMERCIAL POSITIONING NYMEX Crude NON-COMMERCIAL POSITIONING ($MM) Position - Contracts of 5, MXN ($MM) Position - Contracts of 1 barrels 2-Jan 897 93,84 58,746 35,58-1,326 193,82 2-Jan 37,684 762,666 138,453 624,213-7,948 2,479,798 26-Dec 916 87,576 51,192 36,384-17,51 184,543 26-Dec 37,911 772,893 14,732 632,161 3,322 2,46,193 19-Dec 1,43 12,273 48,379 53,894-32,282 181,9 19-Dec 34,582 749,848 148,9 61,839-12,658 2,456,59 12-Dec 2,246 112,383 26,27 86,176-1,347 211,478 12-Dec 35,112 761,121 146,624 614,497 3,369 2,571,686 4
Friday, January 5, 218 NATURAL GAS VS NET POSITION $/mmbtu 3 GOLD VS NET POSITION $/oz. 1,4 3.5 Gold (R) 1,35 2 1,3 3. 15 1, -1 1 1,2 Natural Gas (R) -1 2.5 5 1,15 15 5-5 S&P VS NET POSITION (e-minis) S&P 5 (R) -15 2,65 2,55 2,45 2,35 2, 3 15-15 -3-45 1Y VS NET POSITION 1Y Treasury Yield (R) -6 2. % 2. 2.5 5
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