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19 July 2010
IMM Positioning
Non-commercial investors turn short USD
The latest IMM data covers the week from 6 July to 13 July.
IMM non-commercial positions
Following the USD peak in early June (since which the USD has corrected 5%
lower), speculative investors have gradually reduced their long positions and have GBP
13-Jul 06-Jul
EUR
now once again turned net short USD. This shift partly reflects an unwinding of short
CAD
EUR positions, but also the build-up in long AUD, CAD, CHF and JPY positions.
CHF
Positioning risk has become more two-sided in EUR/USD. Since net short EUR NZD
positions peaked at 40% of open interest in early May (a 3 sigma event), three- AUD
JPY
quarters of these have been unwound. This implies that the upside risk on EUR/USD,
MXN
all other things equal, has been reduced. The latest move in EUR/USD towards 1.30 % of open interest
after the IMM data was collected is likely to have seen EUR shorts further reduced. -60 -10 40 90
The JPY has been on a bullish trend since May (appreciating close to 10% in effective Source: CFTC
Source: CFTC
Senior Analyst
Kasper Kirkegaard
+45 45 13 70 18
kaki@danskebank.com
www.danskeresearch.com
IMM Positioning
Chart 1. Sum of EUR, JPY, GBP, CHF, CAD, AUD and NZD
92.5 40
Dollar index << Narrow USD index USD bn
90.0 30
Net long USD
87.5 20
85.0 10
82.5 0
80.0 -10
77.5 -20
USD positions >>
75.0 -30
72.5 -40
Net short USD
70.0 -50
04 05 06 07 08 09 10
35 35
USD bn USD bn
30 30
Long AUD, NZD vs. Short CHF, JPY
25 25
20 20
15 15
10 10
5 5
0 0
-5 -5
-10 -10
03 04 05 06 07 08 09 10
Source: CFTC
1.65 125
EUR/USD Net long EUR vs. USD 1000 contracts
1.60 100
1.55 75
Speculative positions >>
1.50 50
1.45 25
1.40 0
1.35 -25
1.30 -50
<< EUR/USD spot
1.25 -75
1.20 -100
Net short EUR vs. USD
1.15 -125
04 05 06 07 08 09 10
Source: CFTC
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IMM Positioning
04 05 06 07 08 09 10
Source: CFTC
2.2 125
Net long GBP vs. USD 1000 contracts
2.1 100
GBP/USD << GBP/USD spot
2.0 75
1.9 50
1.8 25
1.7 0
1.6 -25
Speculative positions >>
1.5 -50
1.4 -75
Net short GBP vs. USD
1.3 -100
04 05 06 07 08 09 10
Source: CFTC
04 05 06 07 08 09 10
Source: CFTC
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IMM Positioning
0.90 125
USD/CAD (reversed) 1000 contracts
0.95 100
Net long CAD vs. USD
1.00 75
Speculative positions >>
1.05 50
1.10 25
1.15 0
1.20 -25
1.25 -50
1.30 -75
<< USD/CAD spot
1.35 -100
Net short CAD vs. USD
1.40 -125
04 05 06 07 08 09 10
Source: CFTC
1.10 90
AUD/USD 1000 contracts
1.05 80
Speculative positions >> << AUD/USD spot
1.00 70
Net long AUD vs. USD
0.95 60
0.90 50
0.85 40
0.80 30
0.75 20
0.70 10
0.65 0
0.60 -10
0.55 Net short AUD vs. USD -20
04 05 06 07 08 09 10
Source: CFTC
0.85 30
NZD/USD Net long NZD vs. USD 1000 contracts
0.80 25
<< NZD/USD spot
0.75 20
0.70 15
0.65 10
0.60 5
0.55 0
Speculative positions >>
0.50 -5
Net short NZD vs. USD
0.45 -10
04 05 06 07 08 09 10
Source: CFTC
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IMM Positioning
100 75
80 25
60 -25
20 -125
04 05 06 07 08 09 10
Source: CFTC
1300 400
$/troy ounce Net long gold 1000 contracts
1200 350
1100 Speculative positions >> 300
1000 << Gold spot 250
900 200
800 150
700 100
600 50
500 0
400 -50
300 Net short gold -100
04 05 06 07 08 09 10
Source: CFTC
9000 40
$/Ton Net long copper 1000 contracts
8000 30
7000 20
6000 10
5000 0
<< 3M forward, LME
4000 -10
3000 -20
Net short copper Speculative positions >>
2000 -30
04 05 06 07 08 09 10
Source: CFTC
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IMM Positioning
0.5 250
% Net long 2Y Treasuries 1000 contracts
1.0 200
1.5 150
2.0 Speculative positions >> 100
2.5 50
3.0 0
3.5 -50
4.0 -100
4.5 -150
5.0 << Yield (reverse scale) -200
5.5 -250
Net short 2Y treasuries
6.0 -300
04 05 06 07 08 09 10
Source: CFTC
1.5 700
% Net long 10Y Treasuries 1000 contracts
2.0 600
2.5 500
3.0 Speculative positions >> 400
3.5 << Yield (reverse scale) 300
4.0 200
4.5 100
5.0 0
5.5 -100
6.0 -200
6.5 Net short 10Y treasuries -300
04 05 06 07 08 09 10
Source: CFTC
1600 75
Index Net long S&P500 1000 contracts
1500
1400 50
<< Index
1300 25
1200
1100 0
1000
-25
900
Speculative positions >>
800
-50
700
600 Net short S&P500 -75
04 05 06 07 08 09 10
Source: CFTC
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IMM Positioning
The IMM data is part of the Commitments of Traders (COT) reports published by the U.S.
Commodity Futures Trading Commission (CFTC). The IMM data provides a breakdown of each
Tuesdays open futures positions on the International Money Market (IMM) a division of the
Chicago Mercantile Exchange. All of a trader's reported futures positions in a commodity are
classified as commercial if the trader uses futures contracts in that particular commodity for
hedging as defined in CFTC Regulation 1.3(z), 17 CFR 1.3(z). A trader may be classified as a
commercial trader in some commodities and as a non-commercial trader in other commodities.
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IMM Positioning
Disclosure
This research report has been prepared by Danske Research, which is part of Danske Markets, a division of
Danske Bank. Danske Bank is under supervision by the Danish Financial Supervisory Authority. The author of
this research report is Kasper Kirkegaard, Senior Analyst.
Danske Bank has established procedures to prevent conflicts of interest and to ensure the provision of high
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Risk warning
Major risks connected with recommendations or opinions in this research report, including as sensitivity analysis
of relevant assumptions, are stated throughout the text.
Expected updates
This publication is updated on a weekly basis.
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