Archives of “foreign exchange market” tag

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CFTC Commitments of Traders: Big swings in AUD and EUR

  
Analysis, Forex
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Forex futures positioning data for the week ending June 16, 2020:

  • EUR long 117K vs 96K long last week. Longs increased by 21K.
  • GBP short 16K vs 24K short last week. Shorts trimmed by 8K.
  • JPY long 22K vs 17K long last week. Longs increased by 5K.
  • CHF long 2K vs 2K long last week. No change
  • AUD short 7k vs 37K short last week. Shorts trimmed by 30K
  • NZD short 9K vs 11K short last week. Shorts trimmed by 2K
  • CAD short 25k vs 26K short last week. Shorts trimmed by 1K
  • Prior week
Aussie shorts really threw in the towel but EUR longs continue to pile in. That’s a fresh two-year high and a massive one-week move.
Forex futures positioning data for the week ending June 16, 2020:

Flood of Japanese money rushing to USD assets

  
  Analysis
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Bloomberg report on Japanese investors, facing ongoing negative rates domestically, are buying dollars and risk assets

  • “The presence of the Japanese as the main carry trade driver seems to be growing as they must turn to overseas investments”
Demand for higher-yielding American assets growing
  • In April, Japan’s money managers bought the most U.S. corporate debt in eight years and the second-highest amount of equities in five years
  • “Japanese investors use yen to fund purchases of Treasuries or U.S. corporate bonds, for instance, to seek credit spreads and these flows are continuing,” said Koichi Sugisaki, a strategist at Morgan Stanley MUFG Securities Co. in Tokyo.
Check out USD/JPY … its net more or less unchanged, even a little lower, since November last year …. Without all the Japanese money leaving yen into USD it’d have to be lower I guess?
Bloomberg report on Japanese investors, facing ongoing negative rates domestically, are buying dollars and risk assets 

Dollar selling creeps in, S&P 500 futures higher

  
  Uncategorized
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Risk on the theme

The new week is starting where the last one left off.
S&P 500 futures are up 0.5% to start the week after a massive rally in global equities last week, including +10% in some European equities.
Protests didn’t slow down the market last week and they aren’t having an effect today. In FX, the US dollar and yen are sagging, which is a classic risk-on stance.
So far the moves are modest with the commodity currencies up 15-20 pips. The pound was especially soft late in the day Friday but it’s got some life early, up 27 pips to 1.2695.

CFTC commitments of traders. JPY longs increase vs the USD in the current week

  
  Analysis
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Forex futures positioning data for the week ending May 26, 2020

  • EUR long 75K vs 72K long last week. Longs increased by 3K
  • GBP short 22K vs 19K short last week. Shorts increased by 3K
  • JPY long 35K vs 28K long last week. Longs increased by 7K
  • CHF long 9K vs 9K long last week. Unchanged
  • AUD short 40k vs 39K short last week. Shorts increased by 1K
  • NZD short 15K  vs 16K short last week. Shorts trimmed by 1K
  • CAD short 34k vs 35K short last week. Shorts trimmed by 1K

Highlights for the week:

  • EUR remains the largest speculative position at 75 him K followed by the AUD at 40K. The traders are long EUR (short USDs) and short AUD (long USDs).  The JPY is the next largest position at 35K. The speculative position is long JPY (short USD).
  • There are three currencies that are long vs the USD (EUR, JPY an CHF) and 4 currencies that are short vs the USD (GBP, AUD, NZD and CAD).

ICYMI – US Senate moves to punish China on coronavirus

  
  Analysis
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From the US afternoon, when equities and risk currencies dropped away …. or more accurately, continued to drop away …

US Senator Lindsey Graham, (persistent brown nose to Trump), weighing in yet again to try to cover up from the disastrous US fumbling of the crisis:
  • accused China’s Communist Party of deception over the virus
  • “I’m convinced China will never cooperate with a serious investigation unless they are made to do so.”
Graham proposed a “COVID-19 Accountability Act”
  • requiring China provide “a full and complete accounting to any COVID-19 investigation led by the United States, its allies or UN affiliate such as the World Health Organization
  • require certification that China had closed all wet markets
  • bill would authorize the president to impose a range of sanctions
all within 60 days.
It weighed on markets and there is a little more follow through in early Asia.

CFTC commitments of traders: EUR longs trimmed for the 2nd week in a row.

  
Analysis, Forex
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Forex futures positioning data for the week ending May 5, 2020.

  • EUR long 76K vs 80K long last week. Shorts trimmed by 4K
  • GBP short 12K vs 7K short last week. Shorts increased by 5K
  • JPY long 27K vs 32K long last week. Longs trimmed by 5K
  • CHF long 8K vs 6K long last week. Longs increased by 2K
  • AUD short 33k vs 38K short last week. Shorts trimmed by 5K
  • NZD short 15K  vs 14K short last week. Shorts increased by 1K
  • CAD short 32k vs 29K short last week. Shorts increased by 3K

Highlights:

  • the largest position change was 5K in the GBP, JPY and AUD. The GBP positions were increased by 5K, while the JPY and AUD positions were trimmed by 5K
  • The EUR long remains the largest position, but is lower for the 2nd week in a row. The net long over the last 2 weeks has seen the 87K to 76K this week
  • The AUD and CAD are the next largest positions at 33K and 32K respectively. However, traders are short AUD,and long CAD.
Below is a chart of the deposition in the EUR.  Although lower from the recent peak, it is still near high levels for the year, and high levels going back to June 2018.
Forex futures positioning data for the week ending May 5, 2020.

EUR/USD falls to fresh two-week lows as dollar gains gather pace

  
Analysis, Forex
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EUR/USD looks for a firm break under its key daily moving averages

EUR/USD D1 17-03

It looks like the blowup in funding pressures today is helping to settle the debate earlier in the day on which side EUR/USD may be looking to break out.
As mentioned then, one of the moving parts is dollar funding pressures but the blowup today has certainly seen a massive surge of flows into the greenback this morning.
EUR/USD has now fallen by 1.5% to fresh two-week lows and is looking for a firm break below the 100 and 200-day moving averages @ 1.1068 and 1.1097 respectively.
Keep a break under those levels and the bias in the pair turns more bearish once again. Further support is now seen closer to 1.0980-00 next.

CFTC commitments of traders: EURUSD shorts are trimmed but still against the price trend this week

  
Analysis, Forex
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Forex futures positioning data for the week ending March 3, 2020

  • EUR short 87K vs 114K short last week. Shorts decreased by 27K
  • GBP long 35K vs 30K long last week. Longs increased by 5K
  • JPY short 42K vs 56K short last week. Shorts decreased by 14k
  • CHF short 3K vs 1K long last week. Shorts increased by 4K
  • AUD short 52k vs 44K short last week. Shorts increased by 8K
  • NZD short 17K vs 15K short last week. Shorts increased by 2K
  • CAD long 11k vs 15K long last week. Longs increased by 4K

Highlights:

  • The EUR remains the largest speculative position and it is still short, but there was a relatively large liquidation of 27K.  The EURUSD bottomed on February 20. The price has been up 9 of the last 11 trading days.  The squeeze higher seems to have led to some liquidation of the short positions. Traders are still offsides given the recent sharp move back higher.
  • The JPY has been getting stronger as stocks and rates tumbled.  The USDJPY is trading at the lowest level since August 27 (higher JPY).  Speculative positions remain short JPY (long USD), and losing money.  Like the EUR, the position has been trimmed but traders remain short the JPY (long the USD) and against the price trend this week.
  • The AUD has moved higher off the low from last Friday. Speculative positions in the AUD saw an increase of 8K in the net short position. The short is losing against the rising value of the AUD this week.
  • The speculative position in the GBP (Long 35K) is benefiting this week as the GBPUSD has marched higher last Friday’s low.

Forex futures positioning data for the week ending March 3, 2020

The good news is that the European stock markets are closed

  
Analysis, Global Indices
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German DAX, -3.1%. France’s CAC down -3.8%

The good news for the European stock markets is that they are close for the day.  Each of the major indices had sharp declines. Sometimes closing feels good. The provisional closes are showing:
  • German DAX, -3.1%
  • France’s CAC, -3.2%
  • UK’s FTSE 100, -3.5%
  • Spain’s Ibex, -3.8%
  • Italy’s FTSE MIB, -2.6%
To give an idea of the year to date performance of the major indices :
  • Germany, -6.65%
  • France, -7.6%
  • UK FTSE 100, -9.7%
  • Spain’s Ibex, -5.6%
  • Italy’s FTSE MIB, -2.8%
Comparing to the US market year-to-date:
  • Dow industrial average, -7.6%
  • S&P index, -5.63%
  • NASDAQ index -2.42%
In Asia the year-to-date’s are showing:
  • Japan’s Nikkei, -7.22%
  • Hong Kong’s Hang Seng index, -5.01%
  • Australia S&P/ASX 200 -0.39%
  • China’s Shanghai index -1.93%

In other markets as London/European traders look to exit:

  • gold is trading up $12.80 or 0.78% at $1653.72
  • WTI crude oil futures are trading down $-2.08 or -4.25% of $46.66
In the US stock market the snapshot of the major indices currently shows:
  • S&P index -69.3 points or -2.22% of 3047.44
  • NASDAQ index -221.2 points or -2.46% at 8759.96
  • Dow -578 points or at -2.17% at 26371
In the US debt market yields are sharply lower with the 2 year down -8.9 basis points. The 10 year is down -5.8 basis points.. The 2 – 10 yield spread has widened to 20.42 basis points from 17.24 basis points yesterday on increasing expectations that the FOMC will be forced to lower rates
US yields are lower across the board with a letter yield curve
In the European debt market, yields are mixed with German, France, and UK yields lower while Spain, Italy, Portugal yields are higher (flight to safety and out of the riskier countries):
European yields are mixed
In the forex market, the EUR is the strongest (and got stronger in the session).  Germany did say earlier today that they would contemplate more fiscal stimulus and technicals improved. The EURUSD did run into resistance against the 1.100 level however.
The weakest currency is the CAD as oil continues to get hammered. The GBP and USD are also weaker on the day:
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