Positive GBP sentiment
SEB Risk appetite index (RAI)
Risk appetite ended the week slightly better but off the weekly highs.
Summary of the speculative accounts in the IMM part of the CFTC report for the period 18-24 April:
Most extreme positioning: Net long CAD & net short CHF Largest positioning change: GBP
The aggregated net long speculative position in USD continued to shrink, taking the aggregated net USD position down close to the 52 week median (88,110 contracts vs. 116,292 in the previous report and the 59th percentile).
The speculative net short JPY position decreased for a second week in a row, but rather modestly so (-55,903 contracts vs. previously -57,803). The current position is the 5th lowest in 52 weeks.
EUR short were reduced as the speculative short net position decreased (-113,367 contracts vs. -118,125 previously). This was the first time in three weeks that the short position shrank. However, the net short position is still relatively large compared with the latest 52 weeks (25th percentile).
Following the relatively hawkish BOE Minutes released during the latest reporting period the GBP position was given a boost. The net speculative positioning in GBP changed from being net short to being small net long – a position which is the 5th highest seen in 52 weeks. Note that this reporting period ended before the disappointing Q1 UK GDP was released.
AUD and NZD saw decreasing net long speculative positions with both now below their respective 52 week median levels.
The net long CAD position continued to increase and is becoming extreme, rising to the 2nd largest net long position in 52 weeks compared to the 5th in the previous report).
The CHF speculative net position continued to become even shorter (-16,641 contracts and the 4th lowest in 52 weeks).
FX-O-meter indicators:
The Trend Trade Trigger model suggests shorting USD/JPY (for details see page 5 & 23).
As the market still seems to be more in a ranging mood than in a momentum driven one, we use the FX-o-meters to filter out range trading opportunities. Standing out as the major range trade candidate is NZD/USD which has the lowest trend score and have been confined in a range between 0.8320/0.8059 since March 5.
EUR/GBP is for the second consecutive week the strongest (down) trending currency pair but also the most stretched.
Click here to read the full report: Speculative Position 04.30.12
SEB tech team