M UpdateGlobal Macro Strategy | GlobalGlobal FX Positioning: Short JPY Positioning at Highest Level Since OctoberMorgan 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, February 9, options pricing data indicate that investors added long NZD and SEK (versus EUR) positions, and increased short JPY and GBP positions. In the futures market, investors bought NZD and USD (DXY), while most USD longs were added against EUR and CHF in the week ending Tuesday, February 6. Overall, options data suggest that tactical investors are most long USD (DXY) and NOK (versus EUR), while being short JPY and EUR. Positioning in the futures market remains long EUR and is short AUD and JPY.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, February 9. 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, February 9. 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. February 12, 2024 07:04 AM GMTM Update2In the week ending Friday, February 9, options pricing data indicate that investors added long NZD and SEK (versus EUR) positions, and increased short JPY and GBP positions ( Exhibit 3 ). In the futures market, investors bought NZD and USD (DXY), while most USD longs were added against EUR and CHF in the week ending Tuesday, February 6 ( Exhibit 4 ). Exhibit 3:Source: DTCC, Bloomberg, Morgan Stanley Research; Data as of Friday, F...
