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Weekly Speculative Positions (as April 18): CHF Position Stands at same Level


Swiss Franc

Speculators 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 April 18:

The net short CHF position stands at 13K contracts (against USD).

Speculative Positions

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source: Oanda

In the CFTC reporting period ending April 21, speculators to significant positions in the euro, sterling and the Mexican peso.   Bulls and bears were took more exposure in the euro and sterling, while in the peso the former added on while later sought cover.

The gross longs rose 12.2k contracts in the euro to stand at 185.8k contracts. It is the fifth week in the past six that the bulls added to their stockpile.   The Bloomberg data suggest this is a record large gross long position, days before the French presidential election.  Speculators have pared their long position in only four weeks this year.    But to be sure, the shorts have not capitulated.  The gross position rose by nearly 15k contracts to 207.4k.  This is the largest gross short euro position of the year.

The reporting period ended several hours after UK Prime Minister May called for a snap election, after spending nine months denying it.  The traditional focus on the net position fails to recognize the what happened as the net position slipped an inconsequential 6.4k contacts.  However, the bulls added 16.4k contracts to lift the gross long position to 48.3k.  It is the third increase in four weeks, during which time the gross long position has risen by 50%.  The bears sold another 10.1k contracts to raise their gross short position to 147.8k contracts.  It was the second weekly increase, and remained near the record set last October near 154k.

The net Mexican peso position swung to the long side for the first time in two years.  Some may see in this the unwinding of the so-called Trump trade.  Remember too that the central bank changed its intervention tactics.  The central bank balance sheet bears risk of the currency swaps not the international reserves.  And the central bank has hiked rates, which bolsters its anti-inflation credibility.  The shift to the net long position has been more about net long coming into the market than shorts covering, which is also something that the traditional emphasis on net position obscures.

The bulls added 10.2k contracts to the gross long position.  It stands at 97.0 contracts, up from 21k at the end of last year.  The bears bought back 16.7k contacts to reduce the gross short position to 82.8k contracts.  It was decline in five weeks and is essentially unchanged now on the year.

The speculative net short 10-year Treasury note futures was cut by a third to 41.3k contracts.  It is the smallest net short position since last November.  This was primarily the function of the gross long position rising 24.3k contracts to 706.6k.  At the end of February it stood at 472k contracts.  The bears added 1.1k contracts to the gross short position.  It stands at 747.9k contracts.  It peaked at the end of February at a record 882k contracts.

In the light sweet crude oil futures the bulls liquidated 8.2k contracts and the bears covered 14.9k contracts.  The gross long position stands at 637.8k contracts, while the gross short position is 194.0k contracts.  Since the reporting period closed, the price of oil for June delivery fell $3.2 a barrel.

18-Apr Commitment of Traders
Net Prior Gross Long Change Gross Short Change
Euro -21.6 -19.0 185.8 12.2 207.4 14.9
Yen -30.5 -34.8 45.8 2.4 76.2 -1.9
Sterling -99.5 -105.9 48.3 16.4 147.8 10.1
Swiss Franc -13.8 -10.1 10.8 -2.3 24.6 1.4
C$ -33.3 -32.3 37.3 5.9 70.6 6.8
A$ 43.3 45.2 70.4 -6.4 27.1 -4.5
NZ$ -15.0 -15.2 18.3 -0.7 33.3 -0.8
Mexican Peso 14.2 -12.7 97.0 10.2 82.8 -16.7
US Treasuries 41.3 -18.1 706.6 24.3 747.9 1.1
Crude Oil 443.8 450 637.8 -8.2 194 -14.9
Bloomberg) Speculative positions in 000’s of contracts


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George Dorgan
George Dorgan (penname) predicted the end of the EUR/CHF peg at the CFA Society and at many occasions on and on this blog. Several Swiss and international financial advisors support the site. These firms aim to deliver independent advice from the often misleading mainstream of banks and asset managers. George is FinTech entrepreneur, financial author and alternative economist. He speak seven languages fluently.
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