Morgan Stanley Fixed-Global Macro Strategy Global FX Positioning EUR Becomes th...-109915603

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M

Global Macro Strategy | Global
Global FX Positioning: EUR
Becomes the Preferred Long
Position

Zoe K Strauss

  !"#"#$%"&'('$
Andrew M Watrous

)*+,  !"#"#$%"&-#.$
/012!
David S. Adams, CFA

34*)*  !((#'$(#-&5-".
Wanting Low

,+  !((#'$(#-&%.("
Dominic J Krummenacher

3 6 7  !((#'$(#-&8$."
In the week ending Friday, August 16, options pricing data indicate that investors
added long GBP and AUD positions, and increased short USD (DXY) and JPY
positions. In the futures market, investors added long JPY and NZD positions, while
investors bought USD against GBP and CHF in the week ending Tuesday, August 13.
Overall, options data suggest that tactical investors are most long EUR and NOK
(versus EUR), while being short USD (DXY). Positioning in the futures market
remains long EUR, and is short CAD and CHF.
Exhibit 1:
 93:;<=;> 7?@9AB7+**7B77*CB7
7@*&*D*3EF*;)"%F7*;)FGH+7
 IB
Exhibit 2:
 93:;<=;> 7?@9AB7+**7B77*CB7
7@*&*D*3EF*;)"%F7*;)FGH+7
 IB
Morgan Stanley does and seeks to do business with
companies covered in Morgan Stanley Research. As a result,
investors should be aware that the firm may have a conflict of
interest that could affect the objectivity of Morgan Stanley
Research. Investors should consider Morgan Stanley
Research as only a single factor in making their investment
decision.
For analyst certification and other important disclosures,
refer to the Disclosure Section, located at the end of this
report.
+= Analysts employed by non-U.S. affiliates are not registered
with FINRA, may not be associated persons of the member
and may not be subject to FINRA restrictions on
communications with a subject company, public appearances
and trading securities held by a research analyst account.
August 19, 2024 04:15 AM GMT
M

2
In the week ending Friday, August 16, indicate that investors 
positions, and  positions ( Exhibit
3).In the futures market, investors  !"positions, while investors
bought USD against #$%in the week ending Tuesday, August 13 ( Exhibit 4 ).
Exhibit 3:
 93:;<=;> 7?3EF*;)"%F
7*;)FGH+7 IB
Exhibit 4:
 9<=; =*;> 7?3E:*;
)"5
Options data suggest that tactical investors are most &'!()*+&',
while being (last data as of August 16) ( Exhibit 5 ). Positioning in the
futures market remains &', and is ##$%(last data as of August 13)
(Exhibit 6 ).
Exhibit 5:
 93:;<=;> 7?3EF*;)"%F
7*;)FGH+7 IB
Exhibit 6:
 9<=; =*;> 7?3E:*;
)"5
M

Morgan Stanley Research 3
( suggest that USD positioning is short, while data from the ,++-.
point to long USD positioning ( Exhibit 7 ). EUR/GBP is the preferred short and EUR/NOK
the preferred long from our short-term (weekly) /-(Exhibit 8 ).
Exhibit 7:
 93:;<=; =*;> 7?IB*E
F*;)"%?F*E:*;)"5@9AB7
+**7B77*CB7 7@
**D*F7*;)FGH+7 
IB
Exhibit 8:
0
10
20
30
40
50
60
70
80
90
100
EUR/GBP
EUR/USD
NZD/USD
AUD/USD
GBP/USD
USD/CAD
USD/JPY
USD/CHF
EUR/CHF
EUR/JPY
USD/NOK
EUR/SEK
EUR/NOK
1y percentile of G10 crosses
Go long three
lowest G10
crosses
Go short three highest
G10 crosses
 9> 7?3EF*;)"%F7*;
)FGH+7 IB
+*,++was close to unchanged at 15.96% of open
interest in the week ending Tuesday, August 13 (from 16.03% in the week before; Exhibit
9). In the week ending Friday, August 16, EUR and GBP saw the largest improvement in the
/-012 Sentiment on JPY and USD deteriorated the most in the G10
(Exhibit 10 ).
Exhibit 9:
-45
-35
-25
-15
-5
5
15
25
35
45
Apr-20 Apr-21 Apr-22 Apr-23 Apr-24
GBP EUR JPY CHF
CAD AUD NZD Total
Speculative Net USD Positioning (USDbn)
Long USD
Short USD
 9<=;> 7?3E:*;)"5
)*D*A3=*#&4BB 
Exhibit 10:
 9+++*&E ;> 7
摘要：

MMM  MM    M M !"#"#$%"&'('$  ...

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