巴黎银行-全球-外汇策略-外汇定位分析-20171002-bnp paribas-fx positioning analysis

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1、Thisdocumenthasbeenproducedby:ThemarketcontinuestoholdlargelongEURandshortUSDBNPParibasLondonBranchpositions,atscoresof+26and-29respectively(-/+50scale).FXinvestorscuttheirlong-heldshortGBPpositionsovertheNatalieRickardpastfortnight,andbuiltalargelongposition.Th

2、islongGBPFXStrategistpositioncontinuestobeheldthisweek,thoughFXfundsMichaelSneydappeartohavemoderatedtheirlongGBPpositions.GlobalHeadofFXStrategy&ShortJPYandCHFpositionscontinuetobeheldthisweek,Cross-AssetStrategistwithshortJPYpositionsincreasingtoascoreof-11.Th

3、emarkethasincreaseditslongCADpositiontoascoreof+17thisweek.Chart1:BNPParibasFXPositioningAnalysis–OverallPositioning*SHORTLONGEUR26SEK20CAD17GBP1702-Oct-2017NOK525-Sep-2017AUD-3JPY-11CHF-16NZD-19USD-29-50-40-30-20-1001020304050Source:BNPParibas*Thepositioningscore

4、sabovearereportedasapercentileFXFundBNPPClientRiskbasedonthepriorfiveyearsofdata.ThesepercentilesareIMMPositionTrendingExposureReversalsrescaledtogiveavaluebetween-50and+50.ValuesaboveTrackerIndicator40andbelow-40representextremepositions.-20-50-504-31USD145029211

5、4EURTointerpretascoreof-27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyears-11-924-32-25JPYhavebeenbelowthecurrentobservation.9271838GBP-403-33-42CHF3950-23-829CAD346-17-46-3AUD-1515-21-41-31NZD-5-22-2123NOK32-18721SEKClientexposure–I

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

7、cker–RegressionbaseddecompositionofcurrencyfundpositioningBNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendoftherepor

8、twww.GlobalMarkets.bnpparibas.comChart2:AbsoluteTotalG10PositioningOverallabsoluteFXPositioning2705yAverage22017012070Dec-14Jun-15Dec-15Jun-16Dec-16Jun-