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IMMs: Aussie longs getting crowded

Futures traders remain heavily long on the Australian dollar in spite of its recent sharp falls, the US Commodity Futures Trading Commission’s latest round of FX market positioning data shows.

Aussie long positions outweigh any other long position in G10 pairings by notional size, as of July 19’s Commitments of Traders report, Citi says in a strategy note. In terms of notional size, only short euro positioning was larger. Citi focuses on leveraged traders as the segment most likely to run naked directional trades.

Euro/dollar positioning, meanwhile, showed a fractional bias to be long the dollar. This marks the second week that leveraged players have been short the euro. Citi says, though, that the euro’s small short position (-3,000) has probably now been eradicated by the euro bounce above 1.44 that followed the bailout deal for Greece last Thursday (July 22).

Based on the spot level at previous similar junctures, Citi suggests, the EURUSD spot level where International Money Market leveraged funds are net flat is somewhere in the 1.41 to 1.44 range.

 IMM-Leverage long/short positioning
 Source: CFTC, Bloomberg, CitiFX
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