M UpdateGlobal Macro Strategy | GlobalGlobal FX Positioning: CHF Positioning Moves from Long to Neutral Morgan Stanley & Co. LLCZoe K StraussStrategist Zoe.Strauss@morganstanley.com +1 212 761-0407 Andrew M WatrousStrategist Andrew.Watrous@morganstanley.com +1 212 761-5287 Morgan Stanley & Co. International plc+David S. Adams, CFAStrategist David.S.Adams@morganstanley.com +44 20 7425-3518 Wanting LowStrategist Wanting.Low@morganstanley.com +44 20 7425-6841 Dominic J KrummenacherStrategist Dominic.Krummenacher@morganstanley.com +44 20 7425-9781 In the week ending Friday, January 12, options pricing data indicate that investors added long USD (DXY) and JPY positions, and increased short CHF and SEK (vs EUR) positions. In the futures market, most USD shorts were added against CAD and AUD, while investors bought USD against GBP in the week ending Tuesday, January 9, Exhibit 4 . Overall, options data suggest that tactical investors are most long NOK (versus EUR) and GBP, while being short USD (DXY). Positioning in the futures market remains long EUR and is most short AUD and USD (DXY). Exhibit 1:Source: DTCC, Bloomberg, Morgan Stanley Research; Note: Using options that were traded in the past three months and expire in the coming one month. Notionals are delta-adjusted. Data as of Friday, January 12. For methodology, see Assessing FX Positioning with Currency Options.Exhibit 2:Source: DTCC, Bloomberg, Morgan Stanley Research; Note: Using options that were traded in the past three months and expire in the coming one month. Notionals are delta-adjusted. Data as of Friday, January 12. For methodology, see Assessing FX Positioning with Currency Options.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. January 15, 2024 05:28 AM GMTM Update2In the week ending Friday, January 12, options pricing data indicate that investors added long USD (DXY) and JPY positions, and increased short CHF and SEK (vs EUR) positions ( Exhibit 3 ). In the futures market, most USD shorts were added against CAD and AUD, while investors bought USD against GBP in the week ending Tuesday, January 9 ( Exhibit 4 ). Exhibit 3:Source: DTCC, Bloomberg, Morgan Stanley Research; Data as of ...
