The following are the key takeaways from this week's COT report as provided by Scotiabank (LM:SCO). (Data in this report cover up to Tuesday Sep 22 and were released Friday Sep 25).
IMM‐based investors responded to the volatility in global markets that followed in the wake of the FOMC’s rate decision on September 17th in rather mixed fashion but the overall result was a further reduction in the aggregate bull bet on the USD on the IMM to the lowest in a little more than a year.
Net short EUR sell represents the largest exposure for IMM players and the EUR’s squeeze higher to 1.15 (spot) following the Fed—while short‐lived—clearly forced investors to the sidelines.
Investors were not exactly discriminating in positioning, however. Data reflect a decent reduction in the net short bet on the JPY—which makes sense from a risk aversion point of view as holding the JPY is typically preferable in periods of volatility.
But Investors flipped a small bull bet on the CHF in the previous week to a relatively smaller net bearish position— not what one would expect in a generally risk‐averse environment, as the CHF also typically picks up refuge support during risk averse market phases.
Along similar lines, investors boosted net short AUD positions in the latest week but cut the bearish bet on the CAD back significantly; this may reflect a view on the commodity block’s relative exposure to China‐driven uncertainties and, as a cross trade, it is a view we would concur with after the AUD/CAD cross’s recent turn lower from the 0.95+ area (spot terms).