Following the RBNZ’s dovish statement on Thursday, the rates market now prices a 60% probability of a rate cut by the RBA on Tuesday. The FX market continues to price a cut even more aggressively than the rates market. By the day before the RBNZ meeting, IMM net short positioning in AUD had risen to 40% of open speculative interest and was the most one-sided in G10 FX, exceeding even EUR shorts. Positioning has likely become even heavier since.
Read the full report: FX Daily