INVESTORS BUILT AGGRESSIVE EUR POSITIONS INTO ECB
Data in this report cover up to Tuesday October 18 & were released Friday October 21.
• The aggregate USD long position has climbed to a fresh multimonth high, reaching $19.3bn on the back of a $2.7bn w/w build primarily driven by a deterioration in sentiment toward EUR, JPY, and CHF. Investors made limited changes to their GBP positions and pared CAD risk ahead of Wednesday’s BoC. EUR is by far the largest held net short, followed by GBP, CHF, and CAD.
• Investors pared CAD risk heading into Wednesday’s BoC, reducing both gross long and gross short positions in a sign of underlying uncertainty (bottom right p1). The greater decline in gross longs resulted in a widening of the net short to $1.1bn at levels last seen in March. Meanwhile, investors added to AUD risk on both sides, delivering a fourth consecutive week of improving sentiment with a $0.3bn build in the net long position to $2.3bn.
• EUR saw the largest w/w swing with a $2.1bn widening in the net short to $15.0bn. Details were suggestive of an aggressive build to risk on both sides (middle right p2) with an acceleration in the pace of gross long ($1.8bn w/w) and gross short ($3.9bn w/w) positions. EUR’s subsequent break of the July and post-Brexit lows may have been amplified by a liquidation of the wrong-footed longs.
• JPY sentiment has deteriorated for a second consecutive week with a $1.1bn decline in the net long position to $4.5bn. A broader turn in sentiment has extended over the past several months (middle left p2) and has shown no signs of exhaustion.