NY Open: Watching paint dry
Traders are on tenterhooks ahead of the release of the latest FOMC meeting minutes later today. They shouldn't bother. Fed board members have repeatedly flown the dovish flag in recent days, so why expect surprises?
Head of Commodity Strategy
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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.