This from ANZ on the data released Friday (not that CFTC data is a little dated, this for the week ended January 23

.... ps that is not a criticism, just pointing out a fact if you are not familiar with this data)

In summary from ANZ:

Leveraged funds have turned short against the USD for the first time since October last year. The USD5.3bn of dollar selling in the week took leveraged funds' overall net USD position to USD3.8bn short

  • Dollar selling was broad-based, and this was before US Treasury Secretary Mnuchin's comments about the USD.
  • Real money managers extended their overall net short USD position to another record high, by USD1.3bn to USD24bn

EUR saw the largest net buying by leveraged funds ahead of the ECB meeting.

  • Funds increased their net long EUR position by USD2.3bn to USD7.1bn
  • Buying of the EUR by asset managers was modest, but still took their net position to another new high

GBP also saw strong buying by leveraged funds, which helped sterling move past the 1.40 level.

  • Funds added USD0.8bn to take their net long GBP position to USD5bn, the fourth straight week of net buying. Asset managers were also buyers of GBP, further reducing their overall net short position (see Figure 11).

Leveraged funds reduced their net short JPY position for the second consecutive week, by USD0.5bn to USD9.9bn.

  • With this, positioning in JPY rose modestly to the 10th percentile but overall shorts remain stretched.
  • Real money managers, too, added to their net long JPY exposure (see Figure 9). 

Commodity currencies all saw strong demand from leveraged funds for the third week running In the period which included a 25bps rate hike by the BoC, funds increased their net long CAD position by USD0.6bn to US2bn. Funds bought USD0.5bn worth of AUD and NZD each, taking their overall positions to USD2.1bn long and USD0.8bn short respectively (see Figures 16 and 18). Meanwhile, asset managers were marginal sellers of CAD and NZD, but were net buyers of AUD for the sixth consecutive week

EM currencies saw net buying by leveraged funds, led by MXN (see Figure 24). Funds' overall net MXN position has turned long. BRL is the only EM currency where funds are still net short overall. Real money positioning in all three EM currencies are in the 95- 100 percentile

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Note ..... ANZ look at the US Commodity Futures Trading Commission (CFTC) a little differently to others. In a summarised description of how they use it (any errors are mine):

  • There are two reports compiled by the CFTC: the Commitment of Traders (COT) and the Traders in Financial Futures (TFF)
  • The TFF report provides a richer breakdown of traders into the 'sell side' and 'buy side'
  • ANZ use the parts of the TFF report (combined futures and options position of Leveraged Funds) as a proxy for leveraged positioning, where available

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