美股-投资策略-CFTC定位报告：美国利率期货与期权.docx

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1、CFTCPOSITIONINGREPORTUSINTERESTRATEFUTURESANDOPTIONSPleaserefertoimportantinformationattheendofthisreportShahidLadhaHeadofStrategyforG10RatesAmericasBNPParibasSecuritiesCorpTimothyHighUSStrategistBNPParibasSecuritiesCorpCONTENTS1USINTERESTRATEFUTURESANDOPTIONSPOSITIONING(p.3)2NETSPECULA

2、TORS:WEEKLYCHANGEINPOSITIONINGBYCONTRACT(p.4)3NETSPECULATORS:TOTALAGGREGATEPOSITIONING(p.5)4NETSPECULATORS:CURVEPOSITIONING(p.6)5NETSPECULATORS:HUGEBUYINGINFV(p.7)6NETSPECULATORS:BUYINGCONTINUESINTY(p.8)7ASSETMANAGERS(AM):WEEKLYCHANGEINPOSITIONINGBYCONTRACT(p.9)8LEVERAGEDFUNDS(LF):WEEKLY

3、CHANGEINPOSITIONINGBYCONTRACT(p.10)9NETAM+LFPOSITIONING:GETTINGLONGER(p.11)2USINTERESTRATEFUTURESANDOPTIONSPOSITIONINGCommitmentofTraders(CoT)¹:Weekending30October2018.Importantpoints:§Changeinpositioning:Netspecswerebuyersagainthissurveyweek.AtotalofUSD26.3mnDV01wasboughtacrossallcontra

4、cts,ledbyFVandTY.ThiswasthelargestamountofbuyingbynetspecssinceMay2017(p.4).§Totalpositioning:Thisweek’sbuyingreducesthenetshortacrossallcontractstoUSD-201mnDV01.Inthelastfourweeks,thetotalnetspecshortinfuturesandoptionshasbeenreducedby20%(p.5).§Curvepositioning:Usingourproxy²,USD4.5mnDV

5、01ofsteepeningtradeswereadded.ThenetDV01shortpositionatthelong-endnowexceedstheshortpositionattheshort-endbyUSD30mnDV01(p.6).§FVpositioning:Netspecsboughtanincredible252,000contracts(USD11.8mnDV01)inthecurrentsurveyweek.ThisreducesthenetFVshortpositionbymorethan30%inoneweek(p.7).§TYposit

6、ioning:Inthissurveyweek,netspecsbought125,100TYcontracts(USD9.2mnDV01)infuturesandoptions.Thisisthefifthstraightweekofbuyingandthenetshortpositionhasbeenreducedbynearly40%overthefiveweeks(p.8).§AMchangeinpositioning:Inthissurveyweek,AMnetboughtUSD21.6mninfuturesandoptions.Interestingly,b

7、uyingwasconcentratedinFVandTY(p.9).§LFchangeinpositioning:Inthissurveyweek,LFwerequietbycomparisonandnetsoldUSD-4.3mninfuturesandoptions.BuyinginUXYandWNwasoffsetbylargersellinginTUandFV(p.10).§NetAMvsLFpositioning:AM+LFpositioningcontinuedtorisewithnetbuyingofUSD17.3mnth