The SEB Risk appetite index (RAI)
* RAI moved back into it’s the risk-neutral zone after being in the risk-aversion zone almost all the time since Aug 2011. Since RAI have been correlated with the OECD leading indicator (which is lagging two months) this is a positive sign for the economic recovery going forward.
Summary of the speculative accounts in the IMM report for the period 7-13 Mar:
* The net short speculative EUR position decreased as speculators once again scaled back on short contracts.
* Speculators went less net short in CHF but the net position is still excessively low -3rd lowest over a rolling 52week period.
* JPY saw large changes yet again as the short net speculative position increased. The net JPY position has thus decreased for six consecutive weeks (and gone from long to short) and is at its lower level (largest short) since May 2011.
* NZD net speculative long position fell once again. The main driver was reduced long contracts but interestingly also short contracts were reduced.
* The net aggregated speculative USD long positions was unchanged following last weeks massive increase. Speculators have now been long USD for 13 weeks which is the longest since the 40 week long period Aug 2008 – May 2009.
FX-O-meter indicators:
This week no currency pairs passed the O-meter indicators test for identifying trend trades (for details see page 5 & 23).
The strongest trends
* USD/JPY up, EUR/JPY up and EUR/SEK up
The biggest stretches
* USD/JPY upside, EUR/NOK downside*, and EUR/CAD downside
The largest excess volatility
* USD/JPY, EUR/NOK, and EUR/CAD (i.e. same as the biggest stretched)
Click here to read the full report: Speculative Position 03.19.12
SEB tech team