Hedge funds for the quarter have reduced bets on the strengthening of the ruble

Hedge funds and other speculative investors for the fifth week in a row, bet on the strengthening of the ruble, but their net long position declined by 26%, according to the latest data of the Commission on futures trading in the U.S. (CFTC). Net position (the difference between the number of long and short positions in futures on the ruble exchange rate) for the week to 16 February decreased from 1656 contracts to 1228.

Hedge funds bet on the weakening of the ruble during the four weeks to 12th January (i.e., short positions was more than long). On 21 January, the dollar rate on the Moscow stock exchange reached a record 86 rubles/$1 “inside day” after the price of Russian oil Urals has fallen below $25 per barrel. After that, the ruble recovered somewhat, but over the past week has strengthened by 1.8% (data from Bloomberg on Friday afternoon). Yesterday one dollar was 77 rubles at the close of trading on the Moscow stock exchange, and today, at low volumes, the Russian currency strengthened to 76 rubles 77 kopecks (as of 17:41 GMT).

The number of short speculative positions on the ruble on the American stock exchange CME following the Tuesday, February 16 (data are published with a lag of several days), increased by 1263 (+37%) compared with the index a week ago. Long positions grew by only 16%, but reached a maximum from the beginning of June 2015 — almost 6 thousand futures contracts.

The ruble over the past week prices rose despite the fall of oil prices, and 120-day correlation between Brent oil price and the ruble exchange rate fell to 0.76 (unit would mean that the assets are perfectly correlated) — to the lowest level since mid-January. A week earlier, the ratio has reached record value almost of 0.80, according to Bloomberg terminals. The ruble is now the most volatile currency in the world after the Argentine peso (in terms of the so-called implied volatility one month).

Brent crude last trading week fell by 1% to close Friday at $33,10 per barrel (April futures).