巴黎银行-外汇分析-fx positioning analysis-20170710-bnp paribas

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1、Thisdocumenthasbeenproducedby:LongEURpositionsremainlarge,withthescoreincreasingtoBNPParibasLondonBranch+29(-/+50scale).MichaelSneydShortUSDpositioningalsoremainslarge.At-24,theUSDMacroQuantitativeStrategistremainsthelargestshortintheG10.SEKlongpo

2、sitionshaveextendedovertheweekto+32.NatalieRickardThemarketappearstohavebuiltasmalllongCADpositionGraduateaheadofWednesday’sBankofCanadapolicymeeting.Chart1:BNPParibasFXPositioningAnalysis–OverallPositioning*SHORTLONGSEK32EUR29CAD1110-Jul-2017CHF503

3、-Jul-2017NZD5AUD3NOK-12GBP-15JPY-18USD-24-50-40-30-20-1001020304050Source:BNPParibas*ThepositioningscoresabovearereportedasapercentileFXFundBNPPClientRiskbasedonthepriorfiveyearsofdata.ThesepercentilesareIMMPositionTrendingExposureReversalsrescaledto

4、giveavaluebetween-50and+50.ValuesaboveTrackerIndicator40andbelow-40representextremepositions.-8-36-4916-45USD245037033EURTointerpretascoreof-27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyears-16-1216-40-40JPYhavebeenbelo

5、wthecurrentobservation.-390-18-3-17GBP-279047-4CHF37-15-4-1247CAD-1624-1424-5AUD1550-11-21-6NZD-25-16-445NOK32-183346SEKClientexposure–Internalsalesdesks’estimateofFXinvestorexposureIMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-

6、fund/CTAactivityRiskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”FXFundpositiontracker–RegressionbaseddecompositionofcurrencyfundpositioningBNPPtrendingindicator–Atechnicalmeasureo

7、fthestrengthofacurrency’smomentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comChart2:AbsoluteTotalG10PositioningOverallabsoluteFXP

8、ositioning2705yAverage22017012070Aug-14Feb-15Aug-15Feb-16Aug-16Feb-173YearhistoricplotofG10currencypositioningscoresChart3:USDOverallPositioningChart4:GBPOverallPositioning505030301010-10-10-30-30-50-50Aug-14Feb-15Aug-15Feb-16Aug-16Feb-17Aug-14Feb-15