Quarterly Outlook
Macro Outlook: The US rate cut cycle has begun
Peter Garnry
Chief Investment Strategist
Head of Commodity Strategy
Summary: Hedge funds and other large speculators increased their dollar long against ten IMM currency futures by 22% to $15.5 billion, the highest since June. The change was led by a 38% jump in the EUR net-short to a three-months high and a 27% reduction in the JPY net-long
Saxo Bank publishes two weekly Commitment of Traders reports (COT) covering leveraged fund positions in bonds and stock index futures. For IMM currency futures and the VIX, we use the broader measure called non-commercial.
Hedge funds and other large speculators increased their dollar long against ten IMM currency futures by 22% to $15.5 billion, the highest since June. This was the week when the ECB rate cut initially sent the euro lower thereby creating a double bottom in EURUSD at €1.0926 before it settled into a €1.1 to €1.11 range.
The change was led by a 38% jump in the EUR net-short to a three-months high at 69k lots (€8.6 bn) and 27% reduction in the JPY net-long. Noticeable selling was also seen in MXN and not least NZD where the 36k short was the highest on record. The selling of EUR and light buying of GBP moved the Brexit troubled currency up one position and is now the second most shorted currency against the dollar.
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