The latest IMM Commitment of Traders data (as of Tues Mar 14) spanned the start of US banking sector distress, showing investors selling USD from +2.4% implied net length to -3.1% implied net short. This is the largest USD implied net short since June 2021. However it should be noted that this is largely a function of MXN buying which dominated the figures, taking net length to a 1y high. Excluding MXN, investors would still show up as net long the USD by +4%. MXN buying outweighed investor selling of NZD, CHF, AUD, and JPY. JPY net shorts are highest now for nearly a year. Curious discrepancies were apparent when comparing IMM to the TFF report, where leveraged funds showed up as strong sellers of MXN and CHF, while asset managers’ MXN position was unchanged (in other words MXN buying does not appear in the TFF report).In commodities, investors favoured gold over oil; WTI net length dropped to the lowest in seven years, while gold net length rebounded but only to the middle of the 1y range . Treasury net short positions were reduced across all maturities.
I don’t trust this at all. The fact that the market is short DXY makes me very nervous in an environment of banking crises and recessions.
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It may be that AUD shrug off the trouble but there is every chance that a trapdoor opens under it in a DXY short squeeze.
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