JPY net speculative position lowest since June 2007
SEB Risk appetite index (RAI)
RAI roughly unchanged week on week and thus still within the risk neutral zone and contained in an upward channel.
Summary of the speculative accounts in the IMM report for the period 21-27 Mar:
Most currencies, except MXN, AUD and GBP, saw decreasing net speculative positions which lifted the aggregate net USD speculative position to a level higher then the 52 week average but by no means an excessively high level.
Among G10 currencies a lower speculative net JPY position and a lower net CAD position stood for the largest changes compared with their respective normal weekly fluctuations (for details see page 4). The net short JPY positions is thus the largest short (lowest net) seen since June 2007. The position change for CAD was most probably a reflection of disappointment following ten consecutive weeks of added CAD longs without any bullish price action as the change in net was mostly driven by exited long contracts.
EUR speculators do not seem to hold a clear directional view at the moment as both long and short contracts were exited (almost to the same extent). As a consequence the speculative presence fell but the level is still quite high (75th percentile) compared to the 52 week average.
The AUD speculative net position increased quite substantially but we do not view this as a clear sign of positive AUD sentiment among speculators as both long and short contracts were exited (which rather points towards speculators lacking a directional view).
FX-O-meter indicators:
Our trend trade trigger points towards shorting NOK/SEK and going long EUR/JPY. The short AUD/USD trade discussed but unfortunately not triggered in the previous report would have performed positively (for details see page 5 & 23).
The strongest trends
NOK/SEK down, EUR/NOK up and EUR/JPY up
The biggest stretches
USD/JPY upside, EUR/SEK downside and EUR/GBP downside
The largest excess volatility
EUR/NOK, USD/JPY, and USD/NOK
Click here to read the full report: Speculative Position 04.02.12
SEB tech team