JPM FX Positioning Monitor: USD/CHF topside demand spikes

Research evidence excerpt

JPM FX Positioning Monitor: USD/CHF topside demand spikes

Patrick R Locke AC Global Markets Strategy

(1-212) 834-4254 22 June 2026 J P M O R G A N

patrick.r.locke@jpmchase.com

Figure 3: Last week’s USD/CHF flow takes the 3m positioning proxy up to Figure 4: More calls are being struck at or above 0.81 in USD/CHF lately

near +2-sigma Histogram of USD/CHF calls, by strike. Since 1 June.

USD/CHF net options flow (calls less puts, notionals)

Source: J.P. Morgan, DTCC, Bloomberg Finance L.P. Source: J.P. Morgan, DTCC, Bloomberg Finance L.P.

• This also helps narrow the gap between CHF futures and options indicators to show

a more concentrated short. Earlier this year, we had been flagging the divergence

between USD/CHF positioning in options (short) vs futures (long). The latter we

attributed to futures traders’ predilection to trade carry, which still persists and anchors

CHF shorts in that sector (Figure 6Infutures,CHFshortsremainanchoredbycaryorientation). But we were skeptical that the degree of CHF shorts

in futures was representative of the broader market positioning in CHF, not least because

options flows were more muted and other-way. Now, however, the two are more aligned

to show a material USD/CHF long, averaging about +1.8-sigma between the two series

(Figure 5FuturesandoptionsproxiesofpositioningarenowmorealignedonUSD/CHFlength). Note the latest futures data (Figure 7CHFnetpositioninginfuturesremainsaroundthatoflow-yieldingperslikeCAD&JPY) pre-dates last week’s FOMC.

Figure 5: Futures and options proxies of positioning are now more aligned Figure 6: In futures, CHF shorts remain anchored by carry orientation

on USD/CHF length (X): Carry rate (3m fwd-implied, annualized); (Y): Net futures positioning vs USD (z-score)