巴黎银行-全球-外汇策略-外汇定位分析-20171009-bnp paribas-fx positioning analysis

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1、Thisdocumenthasbeenproducedby:ThemarketnowappearstohaveentirelyunwounditslongGBPBNPParibasLondonBranchposition,afterreachingascoreof+21inSeptember(-/+50scale).MichaelSneydLargeshortUSDpositionscontinuetobeheld.ThesehaveGlobalHeadofFXStrategy&beguntobemoderated,though,andourclientsu

2、rveyshowsCross-AssetStrategistlongUSDpositionsbeingheldforthefirsttimesinceJune.NatalieRickardFXinvestorsappeartohaveincreasedtheirlongCADpositionFXStrategistto+24overtheweek.SEKlongpositionshavebeenreduced,toascoreof+13,from+20lastweek.FXfundsappeartonowholdalargeSEKshort.Chart1:B

3、NPParibasFXPositioningAnalysis–OverallPositioning*SHORTLONGEUR25CAD24SEK13509-Oct-2017NOK102-Oct-2017GBPAUD-1JPY-14CHF-19USD-23NZD-23-50-40-30-20-1001020304050Source:BNPParibas*ThepositioningscoresabovearereportedasapercentileFXFundBNPPClientRiskbasedonthepriorfiveyearsofdata.Thesepe

4、rcentilesareIMMPositionTrendingExposureReversalsrescaledtogiveavaluebetween-50and+50.ValuesaboveTrackerIndicator40andbelow-40representextremepositions.12-50-46-4-29USD1450321218EURTointerpretascoreof-27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyears-29-

5、3224-14-20JPYhavebeenbelowthecurrentobservation.-3435-14710GBP-47-5-46-43CHF3250-31528CAD-245-2-493AUD-2816-37-29-35NZD-6-26-2425NOK31-23-3734SEKClientexposure–Internalsalesdesks’estimateofFXinvestorexposureIMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAa

6、ctivityRiskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”FXFundpositiontracker–RegressionbaseddecompositionofcurrencyfundpositioningBNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentumTheoverall

7、currencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comChart2:AbsoluteTotalG10PositioningOverallabsoluteFXPositioning2705yAverage22017012070Aug-14Feb-15Aug-15Feb-16Aug-16Feb-17Aug-173Y

8、earhistoricp