Futures open interest: Euro longs added ahead of ECB

Preliminary data from the CME Group shows that futures traders added new business in the 6E contract (EUR/USD) last Wednesday, as the Euro moved from 1.1120 lows towards 1.1190 by NY close, before breaking into new highs beyond the 1.12 handle during Asian hours, suggesting that the upside move seen is being backed up by new particpants in the 6E contract.

Open interest shows an increase as Fed fund futures declines

The increase in open interest* on Wednesday, June 1st, was of 2.4k contracts that were added in a day that a strong bullish candle was printed, risk off conditions were present and a reduction in the Fed fund futures was seen. The addition of new positions makes the case for long-side follow through today (already seen in Asia as risk off flows resumed), up until the time when the ECB policy meeting and Draghi speech get underway, time when some of these positions are likely to be closed/hedged, which may see Euro pressured on long liquidation, subject to risk conditions.

*Note, if instead of an increase in open interest in the 6E contract, we had seen a negative reading, that implies a withdrawal of liquidity, via shorts EUR closing their positions, also referred as short squeeze; when that occurs, despite the appreciation in the Euro, it implies no substance/commitment behind the bullish move.