Forex futures market speculator positions data from the CFTC Commitments of Traders report as of the close on March 1, 2016:

  • EUR short 68K vs 47K short prior week
  • GBP short 39K vs. 33K short prior week.
  • JPY long 60K vs. 53K long prior week
  • CAD short 30K vs. 37K short prior week
  • CHF short 1.5K vs. 2K short prior week
  • AUD long 17K vs. 10K long prior week
  • NZD short 4.2K vs 6.6K short prior week

Whoever bought those 7,000 AUD futures contracts is feeling pretty good this weekend. What stands out about AUD is how quickly it's gone from -60K to +16K. The market falls in love with yield quickly.

The euro is bouncing but there is still plenty of for shorts. As recently as December, the net short was -160K.