巴黎银行-全球-外汇市场-外汇定位分析-20171030-bnp_paribas-fx_positioning_analysis

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1、Thisdocumenthasbeenproducedby:ShortUSDpositionsappeartohavebeenentirelyunwound.BNPParibasLondonBranchThecurrentscoreof-2(-/+50scale)isthehighestsinceMay.LongEURpositionshavealsobeenmoderatedtothesmallestNatalieRickardlongsinceMay.FXStrategistShortJPYpositionshavebeencuttoascoreof-3,withFXf

2、undsappearingtohavebuiltlargelongJPYpositions.OverallFXinvestorpositioningappearsverylight(Chart2).Chart1:BNPParibasFXPositioningAnalysis–OverallPositioning*SHORTLONGEUR13GBP7CAD6-130-Oct-2017NOKAUD-123-Oct-2017USD-2JPY-3SEK-3CHF-15NZD-17-50-40-30-20-1001020304050Source:BNPParibas*Thepositio

3、ningscoresabovearereportedasapercentileFXFundBNPPClientRiskbasedonthepriorfiveyearsofdata.ThesepercentilesareIMMPositionTrendingExposureReversalsrescaledtogiveavaluebetween-50and+50.ValuesaboveTrackerIndicator40andbelow-40representextremepositions.19-43-41479USD174617-3825EURTointerpretascore

4、of-27,forexample,add50togive23.-30-4511465JPYThistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.-362102525GBP-34-27131-44CHF2549-6-4710CAD-2416-50-1AUD-41-7-3440-42NZD-2-20-3312NOK16-12-454SEKClientexposure–Internalsalesdesks’estimateofFXinvestorexposureI

5、MM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivityRiskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”FXFundpositiontracker–RegressionbaseddecompositionofcurrencyfundpositioningBNPPtrendingindica

6、tor–Atechnicalmeasureofthestrengthofacurrency’smomentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comChart2:AbsoluteTotalG10PositioningOverallabsoluteFXPositioning2705yAverag

7、e22017012070Dec-14Jun-15Dec-15Jun-16Dec-16Jun-173YearhistoricplotofG10currencypositioningscoresChart3:USDOverallPositioningChart4:GBPOverallPositioning505030301010-10-10-30-30-50-50Dec-14Jun-15Dec-15Jun-16Dec-16Jun-17Dec-14Jun-15Dec-15Jun-16D