Companies most exposed to the UK are getting crushed
The path towards a Brexit resolution remains strikingly unclear, but one thing is certain: firms with high exposure to the UK market are taking it on the chin.
Head of Commodity Strategy
To download your copy of the Commitment of Traders: Forex report for the week ending June 12, click here.
To download your copy of the Commitment of Traders: Financials report for the week ending June 12, click here.
The speculative dollar long against nine IMM currency futures rose 9% to $22.5 billion, an 18-month high. Selling of euro, CHF, GBP, and AUD more than offset buying of JPY and CAD.
The two biggest contributions came from a reduction in the euro net-long which more than halved to a 15-month low, and sterling where the net-short jumped by a quarter.
Leveraged funds continued to increase short duration across the US yield curve. The DV01 rose by $2.5 million to $227 million with selling of fives (new record) and T-bonds more than offsetting a 10% reduction of what the previous week was a record short in 10-year notes.
Short selling of stock market volatility continued with the CBOE VIX Index net-short reaching 114,000 lots. This was the highest reading since last December before the blowup of short volatility ETNs back in early February helped trigger aggressive buying.