Swiss FrancSpeculators were net short CHF in January 2015, shortly before the end of the peg, with 26.4K contracts. Then again in December 2015, when they expected a Fed rate hike, with 25.5K contracts.
The biggest short CHF, however, happened in June 2007, when speculators were net short 80K contracts. Shortly after, the U.S. subprime crisis started. The carry trade against CHF collapsed.
The reverse carry trade in form of the Long CHF started and lasted - without some interruptions - until the peg introduction in September 2011.
In mid 2011, the long CHF trade became a proper carry trade - and not a reverse carry trade anymore - because investors thought that the SNB would hike rates earlier than the Fed.
CHF Speculative Positions
Last data as of March 14
But the net short of CHF nearly remains stable.
(I am beginning a three-week business trip to Asia, so, while committed to the blog, the updates will be irregular. Thanks for your patience.).
The bearishness toward the euro continued to subside. Speculators added 10.6k contracts to the gross long position, lifting it to 148.3k contracts. This appears to be a record. Almost 8k short contracts were covered, leaving the bears with 189.3k contracts. The net short position fell to 41k contracts, which is the smallest since last May.
The adjustment about the euro, not the dollar. Speculators added 13.0k contracts to the gross short yen position, which as of March 14 stood at 106.9k contracts. The gross long position was trimmed by 3.6k contracts to 35.6k. The net position increased from 54.7k contracts to 71.3k, which is the largest net short position since last June.
Speculators liquidated 19.5k sterling futures contracts, bringing the gross long position to 42.4k contracts. They added 6.2k contracts to the gross short position, lifting it to 149.5k contracts. The net short position rose from 81.4k contracts to 107.1k, a new record.
Both bulls and bears saw opportunity in the Canadian dollar futures. The bulls added 9k contracts to the gross long position. It stands at 75.6k contracts. The bears added 16.8k contracts to increase the gross short position to 53.2k contracts.
Speculators in the Australian dollar moved to the sidelines. The bulls liquidated 11.7k contracts, so the gross long position fell to 73.6k contracts. The bears covered 4k contracts. The gross short position stands at 30.3k contracts.
The biggest speculative position adjustment was in the Mexican peso futures. The gross long position swelled by 12.6k contracts to 51.3k. The gross short position fell by 24.7k contracts to 56.7k. This produced a collapse of the net short position from 42.8k contracts to 5.5k, which is the smallest since October 2015.
The net speculative position in the 10-year Treasury note futures fell by a little more than 100k contracts to 194.4k from 298.5k contracts. It is the smallest net short position in four months. Yet what the conventional focus on the net position fails to see is that the shift was not so much a function of shorts covering, though they covered 21k contracts (leaving 805.3k). It was more than the result of bottom pickers who added 83.1k contracts, lifting the gross long position to 610.9k contracts.
In the light sweet crude oil futures, speculators added 79.6k contracts to the gross short position, which stood at 253.2k contracts. They added almost 5k contracts to the gross long position, raising it to 687k contracts. These adjustments result in 74.7k contracts fall in the net long position to 433.8k contracts.
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