巴黎银行-外汇分析-fx positioning analysis-20170717-bnpparibas

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1、Thisdocumenthasbeenproducedby:ShortUSDpositionshaveincreasedfurtherovertheweektoBNPParibasLondonBranch-28(-/+50scale),thelargestshortUSDpositionsince2012.MichaelSneydMeanwhile,EURlongpositionshavealsoextendedto+33,afterMacroQuantitativeStrategistFXfun

2、dsappeartohavebuiltalargelongEURposition.ShortJPYpositionshaveincreasedto-24.Thisweek’sIMMNatalieRickardresultsshowedalargebuildingofJPYshortpositionsGraduateShortGBPpositionshavealsoincreased,butthecurrentscoreof-21ismoderateversusshortsheldfollowing

3、theBrexitvote.Chart1:BNPParibasFXPositioningAnalysis–OverallPositioning*SHORTLONGEUR33SEK22CAD1717-Jul-2017NZD810-Jul-2017AUD5NOK3CHF-8GBP-21JPY-24USD-28-50-40-30-20-1001020304050Source:BNPParibas*ThepositioningscoresabovearereportedasapercentileFXFundB

4、NPPClientRiskbasedonthepriorfiveyearsofdata.ThesepercentilesareIMMPositionTrendingExposureReversalsrescaledtogiveavaluebetween-50and+50.ValuesaboveTrackerIndicator40andbelow-40representextremepositions.-5-39-504-50USD2450374411EURTointerpretascoreof-27,

5、forexample,add50togive23.-23-4517-35-36JPYThistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.-376-19-42-11GBP-2510018-45CHF4221-7-1949CAD-1328-3-1831AUD550-1916-13NZD-22-26-2127NOK29--112645SEKClientexposure–Internal

6、salesdesks’estimateofFXinvestorexposureIMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivityRiskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”FXFundpositio

7、ntracker–RegressionbaseddecompositionofcurrencyfundpositioningBNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationatt

8、heendofthereportwww.GlobalMarkets.bnpparibas.com每日免费获取报告1、每日微信群内分享5+最新重磅报告；2、每日分享当日华尔街日报、金融时报；3、每周分享经济学人4、每月汇总500+份当月重磅报告（增值服务）扫一扫二维码关注公号回复：研究报告加入“起点财经”微信群。Chart2:AbsoluteTotalG10PositioningOverallabsoluteFXPositioning2705yAverag