巴黎银行-全球-外汇市场-外汇定位分析

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1、Thisdocumenthasbeenproducedby:ShortUSDpositioninghasbecomeextremeaccordingtoourBNPParibasLondonBranchmetric,withthescoreextendingto-40(-/+50scale).LongCADpositioningappearstohavemoderatedaheadofMichaelSneydWednesday’sBankofCanadameeting,withthescorenowatGl

2、obalHeadofFXStrategy&+8(from+18).Cross-AssetStrategistEURremainsthelargestlongintheG10withascoreof+25.FXNatalieRickardfundsremainpositionedlongEUR.FXStrategistInvestorsappeartohavemostlyunwoundtheirshortJPYpositionstoascoreof-9,butremainshortCHF.Chart1:BNP

3、ParibasFXPositioningAnalysis–OverallPositioning*SHORTLONGEUR25NOK17SEK12815-Jan-2018CAD008-Jan-2018GBPAUD-1JPY-9NZD-10CHF-30USD-40-50-40-30-20-1001020304050Source:BNPParibas*ThepositioningscoresabovearereportedasapercentileFXFundBNPPClientRiskbasedontheprior

4、fiveyearsofdata.ThesepercentilesareIMMPositionTrendingExposureReversalsrescaledtogiveavaluebetween-50and+50.ValuesaboveTrackerIndicator40andbelow-40representextremepositions.-22-43-47-43-49USD1350-134530EURTointerpretascoreof-27,forexample,add50togive23.-7-4

5、61418-15JPYThistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.-242-8-417GBP-43-41-11-15-43CHF3242-16-11-6CAD-6731-455AUD6-3929-31-4NZD12-41-1841NOK27-22-4031SEKClientexposure–Internalsalesdesks’estimateofFXinvestorexposur

6、eIMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivityRiskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”FXFundpositiontracker–Regressionbaseddecompositionofcurr

7、encyfundpositioningBNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.com

8、Chart2:AbsoluteTotalG10PositioningOverallabsoluteFXPositioning2705yAverage22017012070Aug-15Feb-16Aug-16Feb-17Aug-173YearhistoricplotofG10currencypositioningscoresChart3:USDOverallPositioningChar