JPY net short slightly trimmed
SEB Risk appetite index (RAI)
Risk appetite was more or less flat last week, congesting the rapid fall out of the risk neutral zone.
Summary of the speculative accounts in the IMM part of the CFTC report for the period 4-10 April:
Most extreme positioning: Net short JPY and net long CAD Largest positioning change: Increased net long NZD
Five of eight currencies saw larger speculative net positions versus the USD, taking the aggregated net USD positions down from the 4th to the 9th highest level in 52 weeks (116,292 contracts vs. 128,755 in the previous report).
The speculative net short JPY position started to catch up with reality (appreciating JPY) as it was somewhat decreased (-57,803 contracts and down from the 2nd to the 4th biggest net short in 52 weeks).
For a second straight week EUR short bets were added as the speculative short net position was increased. The EUR position is thus starting to become significantly short (at -118,125 contracts and the 10th smallest week in 52 weeks) however so far without being reflected in EUR/USD. Last time we saw a similar pattern was in the beginning of the fall 2011 when EUR/USD was kept at elevated levels by official type of accounts. Eventually they had to give in which sent EUR/USD lower in line with the speculative positioning.
The net short speculative GBP position was slightly reduced in a familiar pattern this year where bets on a falling GBP/USD is added one week and, in lack of price action, taken off the next week. The Bank of England Minutes, which was released after the cut off period for this report, probably fuelled further reduction in the net short position which will show up in the next IMM report.
AUD, CAD and NZD are increasingly expected by speculators to appreciate vs. USD as their net long positions were increased. The net long CAD position is the most extreme of the three (5th largest net long position in 52 weeks).
As is customary the CHF speculative net position moved in opposite direction to the commodity currencies. The net short position thus became even shorter (-13,762 contracts and the 8th lowest in 52 weeks).
Speculative presence generally continues to be high but is becoming a bit more dispersed between currencies.
FX-O-meter indicators:
The Trend Trade Trigger model indicates no new trend trades (for details see page 5 & 23).
The currency market is more correctional and ranging than momentum driven at the moment which is reflected in low trend scores (and falling stretch scores). In this environment, currency pairs with low trend scores (such as USD/CAD this week) may offer favorable opportunities for range trades (e.g. selling straddles).
EUR/GBP is the strongest (down) trending currency pair but also the most stretched one while EUR/JPY and USD/JPY continued to see reduced upside stretches.
Click here to read the full report: Speculative Position 04.23.12
SEB tech team