According to Michael Sneyd Macro Quantitative Strategist at BNP Paribas, “The market remains short USD, but the size of the short position has moderated to a score of -4 (on our +/-50 scale)”.

  • EUR short positions have extended substantially to a score of -17 following a decline in the risk reversals component.
  • The market is long all the commodity bloc FX. AUD long positions have reached a score of +32, the longest since 2012.
  • NZD long positions have been cut to a score of +3 and SEK short positions have been added reaching a score of -17.