Forex seasonals: Swiss surprise

What’s the seasonal pattern for the Swiss franc in June?

I wrote about some June seasonal patterns last week (part 1, part 2) but I left out a strong seasonal trend — Swiss franc strength.

USD/CHF has fallen in 8 straight Junes, and 9 of the past 11. The average decline in the past 10 years is 1.55%, making in the worst month on the calendar in that time.

Two more things make this trade intriguing.

1) The CFTC positioning data

The latest CFTC positioning data shows net shorts in the Swiss franc at the most-extreme since 2007. These bets are already being squeezed by the rally in the Swiss franc.

2) The USD/CHF chart

The pair has skidded in the past few weeks but if you look at the move in the scope of the bigger moves, there is plenty of space on the downside. The resistance just above parity is also notable.