巴黎银行-全球-外汇策略-全球外汇定位分析-20190404-13页

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1、FLASH

2、FXPOSITIONINGANALYSIS

3、GLOBAL4April2019MACROQUANTSTRATEGY

4、G10FXnFXinvestorsremainmoderatelylongUSDwithascoreof+11(-/+50scale).nIncontrast,EURshortshavebeenextendedtoascoreof-21astheBuySellPressurecomponentturnedmorebearishonEUR.nNOKlongpositioningincreases

5、toascoreof+15from+6overthepastweek.nThemarkethasturnedlessbearishonAUD,reducingshortstoascoreof-14asaresultoftheRiskReversalbuildingAUDlongs.nNZDlongshavebeenunwoundandthemarkethasbuiltshortstoascoreof-7withallcomponents(withtheexceptionoftheIMMcomponent)turnin

6、gmorenegativeonNZD.Fig.1:BNPParibasFXPositioningAnalysis–overallpositioning*SHORT15LONG1111-404-Apr-201928-Mar-2019-7-7-19-21-1413NOKJPYUSDGBPCHFCADNZDAUDSEKEUR-50-40-30-20-1001020304050Source:BNPParibasClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTre

7、ndingIndicatorBuySellPressure1524-136-6-2USD-18-12-18-3-32-44EUR8-61147-1127JPY4223-30-161729GBP-15-40-3346127CHF-20-3028-47-633CAD-9-4130-425-24AUD-17724-203-38NZD42-30-45640NOK-21--25-46-2-1SEK*Thepositioningscoresabovearereportedasapercentilebasedonthepriorf

8、iveyearsofdata.Thesepercentilesarerescaledtogiveavaluebetween−50and+50.Valuesabove40andbelow−40representextremepositions.Tointerpretascoreof−27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.§Clie

9、ntexposure–Internalsalesdesks’estimateofFXinvestorexposure.§IMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity.§Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”.

10、§FXFundpositiontracker–Regressionbaseddecompositionofcurrencyfundpositioning.§BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentum.§Buysellpressure–Anindicatorofpricemomentumanddirectionthatutilisestickdata,aggressorinformationandpricemovem

11、ents.TheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsMichaelSneyd,CFA,HeadofMacroQuantitative&DerivativesStrategy

12、AlexJekov,FXStrategist

13、Kri