Currency Analyst since 2010

Derivative traders more pessimistic on AUD

Data from Bloomberg shows that derivatives traders turned the most pessimistic on Australian dollar since March. Futures positions on AUD saw last week the biggest bearish shift since January, according to the CFTC (Commodity Futures Trading Commission). Large speculators cut net wagers betting on Aussie gains by 6K to 33K in the week ended Aug. 5.

The premium on options to sell the Aussie against the US dollar in 3 months over those giving the right to buy rose to 1.64 percentage points on Aug. 8, the most since March 26.

Calculations based on overnight cash-rate futures show that the market is pricing in about 30% chance that the Reserve Bank of Australia will reduce the 2.5% benchmark rate by year-end compares with a 14% probability seen on Aug. 6. The median forecasts of the analysts surveyed by Bloomberg shows, however, that the majority of experts predict no change this year and an increase to 2.75% in the second quarter of 2015. So, the economists’ forecasts differ from what the market is pricing right now.

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