全球-外汇策略-外汇定位分析

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1、Thisdocumenthasbeenproducedby:nThemarketremainslongUSDatascoreof+17(+/-50scale).BNPParibasLondonBranchMichaelSneydGlobalHeadofFXStrategy&Cross-AssetStrategistKrisGjiniGraduateHowever,FXfundshaveunwoundlongUSDpositions.nSEKshortpositionshavebeenreducedtoascoreof-6f

2、rom-19lastweek.SEKriskreversalshaveshownalargeshiftfromshortpositioningtolongpositioning.nGBPsentimentremainssubduedasthemarketcontinuestoholdlargeshortGBPpositions(-30).nNZDpositioningremainsshort(-29)whilstAUDshortpositionshavebeenmoderatelyparedback(-8).Chart1:B

3、NPParibasFXPositioningAnalysis–OverallPositioning*USDNOKCADJPYEURSEKAUDCHFNZDGBPSHORTLONG714-1-5-5-602-Aug-201830-Jul-2018-18-29-30-81-50-40-30-20-1001020304050Source:BNPParibasClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTrendingIndicator33307113USD523-

4、32-16-7EUR-14-143-33JPY-39-28-26-41-18GBP-24-50-19-712CHF3-2920-2427CAD-6-3714-3-9AUD-40-498-40-24NZD39-44-378NOK-15-25-27-6SEK*Thepositioningscoresabovearereportedasapercentilebasedonthepriorfiveyearsofdata.Thesepercentilesarerescaledtogiveavaluebetween-50and+50.V

5、aluesabove40andbelow-40representextremepositions.Tointerpretascoreof-27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.·Clientexposure–Internalsalesdesks’estimateofFXinvestorexposure·IMM–Thecommitment

6、oftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity·Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”·FXFundpositiontracker–Regressionbaseddecompositionofcurrencyfundpositioning·BNPPtr

7、endingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comChart2:AbsoluteTotalG10Positionin

8、gOverallabsoluteFXPositioning5yAverage27022017012070Aug-15Feb-16Aug-16Feb-17Aug-17Feb-18Three-yearhistoricplotofG10currencypositioningscoresChart