20 Jan 2015
CHF shorts at 18 month high on SNB 'shocker' day - DB
FXStreet (Bali) - Following last Wednesday's SNB shocker, positioning in the franc was quite extended with CHF shorts at an 18 month high of 40% of open interest, notes the Deutsche Bank Market Research Team.
Key Quotes
"Positioning in the franc was quite extended with CHF shorts at an 18 month high of 40% of open interest. This could have potentially played a role in the extended rally in the franc owing to a massive short squeeze. The data reports that net short positioning in futures were of 3.3 billion francs notional value. As such, the 15% or so appreciation that followed the SNB surprise erased around half a billion dollars from this trade."
"Adding to the long dollar story, positioning in the week ending 13-Jan saw implied USD longs extended to 80% of open interest. Both leveraged funds and asset managers added dollar longs by 5.0% and 1.6% of open interest respectively. Elsewhere, speculative short positions were added in EUR, GBP and JPY. Leveraged funds added shorts to all three $-bloc currencies – AUD, NZD and CAD. Asset managers added to their GBP shorts taking their position closer to historical extremes."
Key Quotes
"Positioning in the franc was quite extended with CHF shorts at an 18 month high of 40% of open interest. This could have potentially played a role in the extended rally in the franc owing to a massive short squeeze. The data reports that net short positioning in futures were of 3.3 billion francs notional value. As such, the 15% or so appreciation that followed the SNB surprise erased around half a billion dollars from this trade."
"Adding to the long dollar story, positioning in the week ending 13-Jan saw implied USD longs extended to 80% of open interest. Both leveraged funds and asset managers added dollar longs by 5.0% and 1.6% of open interest respectively. Elsewhere, speculative short positions were added in EUR, GBP and JPY. Leveraged funds added shorts to all three $-bloc currencies – AUD, NZD and CAD. Asset managers added to their GBP shorts taking their position closer to historical extremes."