Monday, 15 March, 2021
NATWEST CTA positioning monitor
NATWEST CTA positioning monitor
* CTAs have started to buy the US Dollar. Both model signal and positioning are turning up from record low levels
* JPY FX signal continues to drift lower, is outright bearish now. Specs have broadly been selling this year, net positioning close to neutral now, but lag bearish price momentum
* Positioning lags max bullish model signals for AUD, CAD and NZD FX by large gap. More for AUD and CAD FX as compared to NZD
* For GBPUSD cross, speculative net positioning (as % of OI) is close to decade high, well supported by max bullish price action
* Model signal for CHF FX has come a long way down from January max bullish levels. CTAs haven’t sold in response, long positions continue to be large
* For EUR FX model signal has turned down quite a bit in last two weeks. CTA positions are moving well in sync
* Model signal has been drifting lower for precious metals (Gold and Silver). Gold signal is outright bearish. Specs have been selling as well, but Gold longs lag bearish momentum significantly
* CTA net longs in US equity (S&P500) futures are extremely small despite max bullish model signal
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