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1、MACROQUANTSTRATEGY
2、G10FXnFXinvestorscontinuetoholdmoderateUSDlongexposurewithascoreof+15(-/+50scale)andmoderateshortEUR(-17)andGBP(-11)exposure.nLongCADpositioningwasextendedto+23,drivenbytheBNPPTrendingindicator.nNOKpositioningisnowthemostneutralithasbeensinc
3、eAugust.Thecurrency’spositioningscorewasreducedto+5.Chart1:BNPParibasFXPositioningAnalysis–overallpositioning*nNZDshortswereextendedtoascoreof-27,themostnegativeofG10currencies.Incontrast,AUDshortsweresqueezedtoascoreof-19.CADUSDNOKJPYCHFGBPEURSEKAUDNZDSHORTL
4、ONG23155-1-8-1129-Oct-201822-Oct-2018-17-18-1-279-50-40-30-20-1001020304050FXPOSITIONINGANALYSIS
5、GLOBAL29October2018Source:BNPParibasClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTrendingIndicator293333-4422USD-17-39-35-19EUR-16-3128-1225JPY-15-21-384
6、0-20GBP-4-23-2008CHF514324521CAD-10-49-238-20AUD-41-4918-41-22NZD33-30-485NOK-20--23-14-14SEK*Thepositioningscoresabovearereportedasapercentilebasedonthepriorfiveyearsofdata.Thesepercentilesarerescaledtogiveavaluebetween-50and+50.Valuesabove40andbelow-40repres
7、entextremepositions.Tointerpretascoreof-27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.§Clientexposure–Internalsalesdesks’estimateofFXinvestorexposure§IMM–Thecommitmentoftraders(COT)isawidelyu
8、sedproxyforUS-basedhedge-fund/CTAactivity§Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”§FXFundpositiontracker–Regressionbaseddecompositionofcurrencyfundpositioning§BNPPtrendingindicator–Ate
9、chnicalmeasureofthestrengthofacurrency’smomentumPleaserefertoimportantinformationattheendofthereportMichaelSneyd,CFA,HeadofMacroQuantitative&DerivativesStrategy
10、AlexJekov,FXStrategist
11、KrisGjini,CrossAssetStrategist
12、BenedicteLowe,CrossAssetStrategist
13、ShaunDaly,
14、Graduate
15、BNPParibasLondonBranchChart2:AbsolutetotalG10positioningOverallabsoluteFXPositioning5yAverage27022017012070Oct-15Apr-16Oct-16Apr-17Oct-17Apr-18Oct-18Three-yearplotofG10cur
