Speculative positioning covering the week ending March 31, 2015.

IMM currency futures

Commitment of Traders
Source for all data and charts in this publication: Bloomberg L.P., CFTC, Saxo Bank

Overview
31-Mar-15

Long

Change

Short

Change

Position
(lots)

Net change
(lots)

Position
bn USD

Net change
bn USD

EUR

41,709

-8,439

268,269

-2,842

-226,560

-5,597

-30.8

-0.76

CHF

13,679

1,075

12,973

-3,586

706

4,661

0.1

0.61

GBP

35,143

-795

71,773

-2,722

-36,630

1,927

-3.4

JPY

44,409

5,253

68,333

-16,728

-23,924

21,981

Price change

1 yr high
(lots)

1 yr low
(lots)

-1.6%

32,551

-226,560

-1.5%

14,066

-26,444

0.18

0.0%

56,412

-45,708

-2.5

2.31

-0.2%

-23,924

-120,878

CAD

18,771

-422

48,389

-3,460

-29,618

3,038

-2.3

0.24

-1.3%

22,691

-39,030

AUD

55,814

3,735

80,170

-277

-24,356

4,012

-1.9

0.31

-3.2%

49,047

-76,851

NZD

16,443

4,294

12,412

-603

4,031

4,897

0.3

0.37

-2.1%

20,693

-6,200

MXN

43,289

8,245

73,578

-2,566

-30,289

10,811

-1.0

0.35

-2.1%

90,203

-64,451

41.6

-3.61

1.2%

USD

IMM Dollar position

Billion USD
80

60

USD Index
100

Aggregate USD position derived from

eight IMM currency futures

Dollar Index future

1000 lots
100

80
95

USD Index
100

Long
Short
Net
Price (rhs)

95

60

40
90

40

90

20
85

20

85

0
80
-20

-20

-40

-60
2010

80

75
Long
Short
Net
USD Index

2011

2012

2013

2014

-40

70

-60
2010

75
2011

2012

2013

2014

SAXO BANK A/S | PHILIP HEYMANS ALL 15 | 2900 HELLERUP | PHONE: +45 3977 4000 | WWW.SAXOBANK.COM | CVR NR: 15 73 12 49

IMM EURO
1,000 lots

EUR/USD
1.40

150
100

1.35

50

IMM JPY

1,000 lots

USD/JPY

100

70

50

80

90

1.30

0
1.25
-50

-50

100

1.20
-100

-100
Long

Short

1.15

-150
Net

Spot

1.10

-200

110
Long

-150

Short

120

Net

Spot, inverse

-250
Apr-12

1.05
Oct-12

Apr-13

Oct-13

Apr-14

Oct-14

IMM GBP

1000 lots

GBP/USD

150

1.75

100

1.70

50

1.65

-200
Apr-12

130
Oct-12

Apr-13

Oct-13

Apr-14

Oct-14

IMM CHF

USD/CHF

1000 lots
30

0.86

0.88

20

0.90

10

0.92
0
0

1.60

0.94
-10

-50

0.96

1.55
-20

-100

Long

1.50

Short
Net

0.98
Long
Short

-30

-150
Apr-12

Spot, inverse

1.45
Sep-12

1.00

Net

Spot

Feb-13

Jul-13

Dec-13

May-14

Oct-14

Mar-15

AUD/USD

150

1.10

Apr-13

Oct-13

Apr-14

Oct-14

1000 lots
40

NZD/USD
0.88

Long

Short

Long
Short

1.05

Net

100

1.02
Oct-12

IMM NZD

IMM AUD

1000 lots

-40
Apr-12

Net

30

0.86

Spot

Spot

0.84

1.00
20

0.82

50

0.95
10

0.80

0.90

0.78
0
0.85

-50
0.80

-100
Apr-12

0.75
Oct-12

Apr-13

Oct-13

Apr-14

Oct-14

0.76
-10
0.74

-20
Apr-12

0.72
Sep-12

Feb-13

Jul-13

Dec-13

May-14

Oct-14

SAXO BANK A/S | PHILIP HEYMANS ALL 15 | 2900 HELLERUP | PHONE: +45 3977 4000 | WWW.SAXOBANK.COM | CVR NR: 15 73 12 49

Mar-15

IMM MXN
1000 lots

USD/MXN

200

12.0

12.5
150

IMM CAD

1000 lots

USD/CAD

125

0.95

100
1.00
75

13.0

1.05

50

100
13.5

50

14.0

14.5
0

25

1.10

0
1.15

-25
-50

1.20

15.0
-75

Long

-50

15.5

Short
Net

-100
Apr-12

Spot, inverse

Sep-12

Feb-13

16.0

Jul-13

Dec-13

May-14

Oct-14

Mar-15

Long

1.25

Short

-100

Net

Spot, inverse

-125
Apr-12

1.30
Sep-12

Feb-13

IMM RUB

Jul-13

Dec-13

May-14

Oct-14

Mar-15

IMM BRL

1000 lots
15

USD/RUB
25
30

10
35
5

40

1000 lots
30

USD/RUB
1.8

20

2.0

10
2.2
0
2.4

-10
45
0

-20

2.6

50
-30
-5

55
60

Long

-10

Short

65

Net

3.0
-50

Dec-12

3.2

Net
USDBRL

70
Jul-12

Long
Short

-60

USDRUB

-15
Feb-12

2.8

-40

May-13

Oct-13

Mar-14

Aug-14

Jan-15

-70
Jul-12

3.4
Dec-12

May-13

Oct-13

Mar-14

Aug-14

SAXO BANK A/S | PHILIP HEYMANS ALL 15 | 2900 HELLERUP | PHONE: +45 3977 4000 | WWW.SAXOBANK.COM | CVR NR: 15 73 12 49

Jan-15