全球-外汇市场-全球外汇定位分析

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1、Thisdocumenthasbeenproducedby:BNPParibasLondonBranchMichaelSneydGlobalHeadofFXStrategy&Cross-AssetStrategistAlexanderJekovGraduatenFXinvestorscontinuetoholdlongUSDpositionswithascoreof+23(-/+50scale)asallcomponentsshowpositivescores.nSentimenttowardsEURdeterior

2、atedasEURpositioningshiftedfromascoreof+3lastweekto-6thisweek.ThiswasdrivenlargelybyFXFundsaddingtotheirshortpositions.nNOKlongswerereducedtoascoreof+19asaresultoftheRiskReversalcomponentparingbacklongs.nJPYpositioningcurrentlyappearsneutralasFXfundsparedbackthei

3、rlongpositionsfrom+47lastweekto+5thisweek.Chart1:BNPParibasFXPositioningAnalysis–OverallPositioning*USDNOKJPYEURAUDCADCHFSEKGBPNZDSHORTLONG23190-6-923-Jul-201816-Jul-2018-16--27-3021-12-50-40-30-20-1001020304050Source:BNPParibasClientExposureIMMRiskReversalsFXFu

4、ndPositionTrackerBNPPTrendingIndicator3525281415USD-1118-35-87EUR-142257JPY-24-23-17-50-19GBP-22-50-19-313CHF-12-3327-411CAD1-3122-35-3AUD-40-492-44-21NZD46-30-88NOK-14--14-41-13SEK*Thepositioningscoresabovearereportedasapercentilebasedonthepriorfiveyearsofdata.T

5、hesepercentilesarerescaledtogiveavaluebetween-50and+50.Valuesabove40andbelow-40representextremepositions.Tointerpretascoreof-27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.·Clientexposure–Interna

6、lsalesdesks’estimateofFXinvestorexposure·IMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity·Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”·FXFundpositiontracker–

7、Regressionbaseddecompositionofcurrencyfundpositioning·BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportwww

8、.GlobalMarkets.bnpparibas.comChart2:AbsoluteTotalG10PositioningOverallabsoluteFXPositioning5yAverage27022017012070Aug-15Feb-16Aug-16Feb-17Aug-17Feb-183Yearhist