The latest IMM data covers the week from 22 September to 29 September 2015.
IMM positioning data released on Friday show that speculative positioning in the G10 currency sphere saw very little changes last week, leaving non-commercial positioning virtually unchanged . The most noteworthy change was seen in MXN as speculators re-added most of the bearish bets that were short covered in the previous week (see page 7).
While the change in MXN positioning from a statistical perspective was the most significant, the sheer size of EUR bets meant that the bearish EUR builds from a USD-value perspective was the largest (see page 2). From a historical perspective, however, the change was still insignificant, leaving non-commercial EUR positioning stuck in the 16th-22nd percentile range for the seventh consecutive week. The single currency's status as a preferred funding currency has seen EUR-crosses trade in tandem with global risk sentiment in recent months yet we think expectations of further policy action from the ECB will maintain positioning at current bearish levels.
Overall, net long USD bets have been roughly halved since the start of August as EM turmoil and diminished Fed-hike expectations have reduced the attractiveness of the Greenback exposure. As this week's IMM release does not cover Friday's very poor non-farm payrolls report, we suspect that long USD bets have been covered further to the least bullish level in 2015 (see page 2). Indeed, on the back of the dire labour market report we have also postponed our call for the first Fed hike to January 2016 as we think it is becoming increasingly difficult for Janet Yellen to initiate lift-off in December (for more details see Flash Comment - Weak labour market pushes first Fed rate hike to next year , 2 October 2015). We expect EUR/USD to remain range bound in the 1.10-1.15 interval for the rest of the year before an appreciation trend materialises in the middle of 2016.
In the commodity-currency sphere, investors remain stretched short all pairs with NZD as the exception (see chart below). In commodities, speculators reduced their long oil bets for the third consecutive week , sending overall positioning in the black gold to levels last seen during the August market turmoil.
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