Morgan Stanley Fixed-Global Macro Strategy Global FX Positioning Short JPY Posi...-106477439.pdf

2024-02-27 00:11
Morgan Stanley Fixed-Global Macro Strategy Global FX Positioning Short JPY Posi...-106477439.pdf

MUpdate2IntheweekendingFriday,February9,optionspricingdataindicatethatinvestorsaddedlongNZDandSEK(versusEUR)positions,andincreasedshortJPYandGBPpositions(Exhibit3).Inthefuturesmarket,investorsboughtNZDandUSD(DXY),whilemostUSDlongswereaddedagainstEURandCHFintheweekendingTuesday,February6(Exhibit4).Exhibit3:Source:DTCC,Bloomberg,MorganStanleyResearch;DataasofFriday,February9.Formethodology,seeAssessingFXPositioningwithCurrencyOptions.Exhibit4:Source:Bloomberg,Macrobond,MorganStanleyResearch;DataasofTuesday,February6.OptionsdatasuggestthattacticalinvestorsaremostlongUSD(DXY)andNOK(versusEUR),whilebeingshortJPYandEUR(lastdataasofFebruary9)(Exhibit5).PositioninginthefuturesmarketremainslongEURandisshortAUDandJPY(lastdataasofFebruary6)(Exhibit6).Exhibit5:Source:DTCC,Bloomberg,MorganStanleyResearch;DataasofFriday,February9.Formethodology,seeAssessingFXPositioningwithCurrencyOptions.Exhibit6:Source:Bloomberg,Macrobond,MorganStanleyResearch;DataasofTuesday,February6.MUpdateMorganStanleyResearch3OptionsdatashowthatUSD(DXY)positioningislong,whiledatafromthefuturesmarketpointtoneutralUSDpositions(Exhibit7).EUR/CHFisthepreferredshortandEUR/GBPthepreferredlongfromourshort-term(weekly)contrarianstrategymodel(Exhibit8).Exhibit7:Source:DTCC,Bloomberg,Macrobond,MorganStanleyResearch;OptionsdataasofFriday,February9;FuturesdataasofTuesday,February6.Note:Usingoptionsthatweretradedinthepastthreemonthsandexpireinthecomingonemonth.Notionalsaredelta-adjusted.Formethodology,seeAssessingFXPositioningwithCurrencyOptions.Exhibit8:0102030405060708090100EUR/CHFUSD/JPYUSD/CHFEUR/JPYNZD/USDUSD/CADEUR/SEKAUD/USDGBP/USDEUR/NOKUSD/NOKEUR/USDEUR/GBP1ypercentileofG10crossesGolongthreelowestG10crossesGoshortthreehighestG10crossesSource:MorganStanleyResearch;DataasofFriday,February9.Formethodology,seeAssessingFXPositioningwithCurrencyOptions.SpeculativeUSD(DXY)futurespositioningincreasedto8.5%ofopeninterestintheweekendingTuesday,February6(from2.3%intheweekbefore;Exhibit9).IntheweekendingFriday,February9,NZDandAUDsawthelargestimprovementintheDailySentimentIndex.SentimentonCHF,USDandJPYdeterioratedthemostintheG10(Exhibit10).Exhibit9:-40-30-20-10010203040Jan-20Jan-21Jan-22Jan-23Jan-24GBPEURJPYCHFCADAUDNZDTotalSpeculativeNetUSDPositioning(USDbn)LongUSDShortUSDSource:Bloomberg,MorganStanleyResearch;DataasofTuesday,February6.AdjustedtoUSDamountbasedonrolling2-yearaveragespotprice.Exhibit10:Source:www.trade-futures.com,MorganStanleyResearchMUpdate4DisclosureSectionTheinformationandopinionsinMorganStanleyResearchwerepreparedoraredisseminatedbyMorganStanley&Co.LLCand/orMorganStanleyC.T.V.M.S.A.and/orMorganStanleyMéxico,CasadeBolsa,S.A.deC.V.and/orMorganStanleyCanadaLimitedand/orMorganStanley&Co.Internationalplcand/orMorganStanleyEuropeS.E.and/orRMBMorganStanleyProprietaryLimitedand/orMorganStanleyMUFGSecuritiesCo.,Ltd.and/orMorganStanleyCapitalGroupJapanCo.,Ltd.and/orMorganStanleyAsiaLimitedand/orMorganStanleyAsia(Singapore)Pte.(Registrationnumber199206298Z)and/orMorganStanleyAsia(Singapore)Sec

点击免费阅读完整报告
© 2017-2023 上海俟德教育科技有限公司
沪ICP备17027418号-1 | 增值电信业务经营许可证:沪B2-20210551
回顶部
报告群
公众号
小程序
APP
在线客服
收起