Data collected from positioning on the CME’s International Money Market platform shows that the long yen position is 96% of the maximum for the past year, say Citi analysts. Citi tracks only leveraged traders’ activity, as they form the group most likely to run naked directional trades.
Australian dollar sentiment is not far behind that of the yen, the COT numbers show, with $9.7 billion of longs built up by leveraged funds, a record for that class of trader. New Zealand dollar positioning is notably smaller, but still a record for that currency at $2.1 billion, Citi notes (see chart).
Other positions that are at or near records are longs on the Swiss franc and shorts on the Mexican peso. For those particular currencies, however, the offsets on the other side are substantial, Citi adds.
Leveraged funds remained net short on the euro for the third consecutive week, meanwhile, despite the euro spot rate jumping from 1.416 to 1.451 between CFTC surveys. This should have triggered sharp trimming of euro shorts, Citi notes, but the movement was modest. Given the volatility that occurred following the July 26 survey, both longs and shorts have probably been cut further, the bank argues.
On EUR/USD, “the key point to take from the survey is that, for at least this particular class of investors, the 'neutral' point is apparently somewhere around 1.45 at present”, Citi’s Greg Anderson concludes.
| Notional leveraged funds' positions on IMM, July 26 |
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| Sources: CFTC, Bloomberg, CitiFX |