外汇策略-全球外汇定位分析

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1、MACROQUANTSTRATEGY

2、G10FXnUSDshortsreducetoascoreof-7(-/+50scale),from-11lastweek,drivenbytheBNPPTrendingIndicatorandtheBuySellPressurecomponentsunwindingshorts.nFXinvestorsextendCADlongstoascoreof+18,asaresultoftheFXFundPositionTrackercomponentextendinglongs.nGBPshortsextendtoascoreof-13as

3、theFXFundPositionTrackercomponentturnsmorebearishontheGBP.nLongJPYremainsthemostovercrowdedG10FXposition,withascoreof+29.Fig.1:BNPParibasFXPositioningAnalysis–overallpositioning*JPYCADCHFNOKEURSEKUSDNZDGBPAUDSHORTLONG291865514-Jun-201907-Jun-20191-13-14-7-7-50-40-30-20-1001020304050FLASH

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5、FXPOSITIONINGANALYSIS

6、GLOBAL17June2019Source:BNPParibasClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTrendingIndicatorBuySellPressure2230-29-500-13USD7-11-9505-12EUR321111473337JPY-34-191110-23-24GBP-18-31-40502943CHF-14-1043491028CAD-17-44-3350-34-8AUD-21-382550-29-30NZD17-38-503

7、19NOK-39--10505-3SEK*Thepositioningscoresabovearereportedasapercentilebasedonthepriorfiveyearsofdata.Thesepercentilesarerescaledtogiveavaluebetween−50and+50.Valuesabove40andbelow−40representextremepositions.Tointerpretascoreof−27,forexample,add50togive23.Thistellsusthat23%ofobservationsove

8、rthepastfiveyearshavebeenbelowthecurrentobservation.§Clientexposure–Internalsalesdesks’estimateofFXinvestorexposure.§IMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity.§Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorpora

9、teanoption“marketsentiment”.§FXFundpositiontracker–Regressionbaseddecompositionofcurrencyfundpositioning.§BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentum.§Buysellpressure–Anindicatorofpricemomentumanddirectionthatutilisestickdata,aggressorinformationandpricemoveme

10、nts.TheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportMichaelSneyd,CFA,HeadofMacroQuantitative&DerivativesStrategy

11、AlexJekov,FXStrategist

12、KrisGjini,MacroQuantStrategist

13、Benedict