Monday, 15 February, 2021
NATWEST:: CTA trend follower
* The US Dollar model signal and positioning stay close to max bearish levels
* CTAs pare long positions in JPY FX for fifth consecutive week. Model signal too has come down from max bullish levels
* Specs are net neutral AUD FX despite max bullish model signal
* CTAs have broadly been buying GBP FX futures since Nov’20, net long positioning (as % of OI) is close to a year high, but has been larger before and lags max bullish price action
* Gold longs stay close to last few year highs despite an outright bearish signal
* Oil and Copper signals are all max bullish. Copper longs are large and in sync with price action, but Oil positioning lags bullish momentum
* VIX (US equity volatility) model signal continues to drift lower. Speculative short positions are in sync
* For US Treasury markets, CTAs are net long 5yr and 10yr futures, while classic and ultra-long bond shorts are large, implying net positioning in steepeners
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