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Foreign Exchange

IMMs: Position taking drops to lowest levels in 8 months; GBP defies positioning

The latest Commitment of Traders report issued on Friday by the CFTC shows that position taking is at the lowest levels since January.

Using aggregated data from the leveraged funds category of the IMM reports, because they’re the group most likely to put on naked directional trades, Citigroup analysts found that positions held were at their lowest in 8 months for almost every IMM currency. 

In EURUSD, the aggregate long position was only 38% of the 12-month maximum, while the short was at 55%. In AUD, the long was down to 66% of the 12-month maximum. At 78% of the one-year maximum CHF was the biggest long, while MXN was the biggest short at 66%.

 Aggregate USD notional of leverage funds' positions
 Source: CFTC, Citigroup

Citigroup also pointed out the disconnect between the IMM positioning in GBP and the GBPUSD spot rate. Despite the number of GBP long positions decreasing, GBPUSD has marched sharply higher the past two weeks. This is unusual since positions usually move in line with price action.

The GBPUSD rose as high as 1.6618 last week amid strong buying of sterling, which many traders say was related to HP’s £6.7 billion acquisition of the UK software company, Autonomy, announced Aug. 18. Traders estimate that there was as much as £8 billion bought through the spot and options market, which has made the GBPUSD market “structurally short.”

Net GBP position vs GBPUSD spot
  Source: CFTC, Citigroup

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