Bank of America Merrill Lynch Global Research discusses the latest trend in G10 positioning data. Some studies suggest stretched positioning tends to signal a possible reversal.
"Below we chart the long term history of net-positioning for major FICC assets supplied by the CFTC / COT report. Each time series represents the Net Non-Commercial combined positions divided by open interest (at that time) since 2000," BofAML notes.
"FX: The market is stretched long the Japanese Yen the most in three years. The market has built a short euro position since its long positions peaked in 2Q18 but relative to history it is not stretched (Panel 1).
Short positioning in the Australian dollar and New Zealand Kiwi dollar are near record stretched short levels. (Panel 2)," BofAML adds.