巴黎银行-fx positioning analysis-20170619-bnp paribas

《巴黎银行-fx positioning analysis-20170619-bnp paribas》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、Thisdocumenthasbeenproducedby:ThemarketcontinuestoholdlargelongEURandshortUSDBNPParibasLondonBranchpositions,atscoresof+22and-17respectively(-/+50scale).MichaelSneydShortCADpositionshavebeenunwound,withthescoreMacroQuantitativeStrategistmoderatingto-4from-17lastwee

2、k.ThemarkethasbuiltalargeshortNOKpositionaheadofNatalieRickardThursday’sNorgesBankmeeting.GraduateShortGBPpositionscontinuetobebuilt,butatascoreof-17theseremainmoderate.Chart1:BNPParibasFXPositioningAnalysis–OverallPositioning*SHORTLONGEUR22SEK4JPY-119-Jun-2017NZD-

3、212-Jun-2017AUD-2CAD-4CHF-10USD-17GBP-17NOK-19-50-40-30-20-1001020304050Source:BNPParibas*ThepositioningscoresabovearereportedasapercentileFXFundBNPPClientRiskbasedonthepriorfiveyearsofdata.ThesepercentilesareIMMPositionTrendingExposureReversalsrescaledtogiveavaluebe

4、tween-50and+50.ValuesaboveTrackerIndicator40andbelow-40representextremepositions.3-13-4918-42USD295034-2318EURTointerpretascoreof-27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyears41125-463JPYhavebeenbelowthecurrentobservation.-46-12-323

5、1-25GBP-28-3117-3-4CHF5-485214CAD-20-1-10118AUD7-37-4826NZD-34--14-24-3NOK20--3-3-24SEKClientexposure–Internalsalesdesks’estimateofFXinvestorexposureIMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivityRiskreversals–Riskreversalsindica

6、tetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”FXFundpositiontracker–RegressionbaseddecompositionofcurrencyfundpositioningBNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentumTheoverallcurrencyscoreisthencalcu

7、latedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comChart2:AbsoluteTotalG10PositioningOverallabsoluteFXPositioning2705yAverage22017012070Jul-14Jan-15Jul-15Jan-16Jul-16Jan-173Yearhistoricpl

8、otofG10currencypositioningscoresChart3:USDOverallPositioningChart4:GBPOverallPositioning505030301010-10-10-30-30-50-50Jul-14Jan-15J