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1、MACROQUANTSTRATEGY
2、G10FXnFXinvestorshaveincreasedUSDlongpositioningtoascoreof+21(-/+50scale)from+16lastweek.ThiswasdrivenbyFXfundsparingbackshortpositions.nCADlongpositioninghasbeenreducedto+19asaresultoftheClientSurveyandtheFXFundPositiontrackercomponent
3、sturningmorepessimisticontheCAD.Chart1:BNPParibasFXPositioningAnalysis–overallpositioning*nAUDandNZDshortshavebeensqueezedto-16and-23respectively.USDCADJPYNOKCHFAUDGBPEURSEKNZDSHORTLONG211952-8-16-16-17-1801-Nov-201825-Oct-2018-23-50-40-30-20-10010203040
4、50FXPOSITIONINGANALYSIS
5、GLOBAL1November2018Source:BNPParibasClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTrendingIndicator353334-2427USD-27-38-26-28EUR-1-31261516JPY-27-20-3924-20GBP-12-23-2034-17CHF-914333325CAD-10-48-2312-10AUD-34-4918-44-7NZD
6、30-31-50-5NOK-32--18-15-7SEK*Thepositioningscoresabovearereportedasapercentilebasedonthepriorfiveyearsofdata.Thesepercentilesarerescaledtogiveavaluebetween-50and+50.Valuesabove40andbelow-40representextremepositions.Tointerpretascoreof-27,forexample,add50t
7、ogive23.Thistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.§Clientexposure–Internalsalesdesks’estimateofFXinvestorexposure§IMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity§Riskreversals
8、–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”§FXFundpositiontracker–Regressionbaseddecompositionofcurrencyfundpositioning§BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentumTh
9、eoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportMichaelSneyd,CFA,HeadofMacroQuantitative&DerivativesStrategy
10、AlexJekov,FXStrategist
11、KrisGjini,CrossAssetStrategist
12、Benedicte
13、Lowe,CrossAssetStrategist
14、ShaunDaly,Graduate
15、BNPParibasLondonBranchUANTSTRATEGY
16、G10FXMACROQChart2:AbsolutetotalG10positioningOverallabsoluteFXPositioning5yAverage27022017012070Oct-16Apr-17Oct-17Apr-18Oct-18Three-yea
