巴黎银行-外汇分析-fx positioning analysis-20170814-bnp paribas

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1、Thisdocumenthasbeenproducedby:ThemarkethascutitsshortJPYposition,withthescoreBNPParibasLondonBranchmovingto+2,from-17lastweek.ThemarketappearstohaveslightlyscaledbackitslongEURClaraLeonardpositionstoascoreof+31(+/-50scale),whilstUSDshortG10FXStrategistpositioni

2、nghasextendedovertheweektoascoreof-39.Inthecommoditybloc,longpositionscontinuetobeparedMichaelSneydback.NZDexposurehasbeencutfrom+10to+1overthepastGlobalHeadofFXStrategy&Crossweek.AssetStrategistChart1:BNPParibasFXPositioningAnalysis–OverallPositioning*SHORTLONG

3、EUR31SEK26CAD19NOK1714-Aug-2017AUD1207-Aug-2017JPY2NZD1CHF-15GBP-19USD-39-50-40-30-20-1001020304050Source:BNPParibas*ThepositioningscoresabovearereportedasapercentileFXFundBNPPClientRiskbasedonthepriorfiveyearsofdata.ThesepercentilesareIMMPositionTrendingExposure

4、Reversalsrescaledtogiveavaluebetween-50and+50.ValuesaboveTrackerIndicator40andbelow-40representextremepositions.-14-49-47-38-48USD2050182841EURTointerpretascoreof-27,forexample,add50togive23.0-3929193JPYThistellsusthat23%ofobservationsoverthepastfiveyearshavebeen

5、belowthecurrentobservation.-417-17-22-23GBP-392-29-46CHF3147-172610CAD543-12178AUD-1549-3944-36NZD-15-271342NOK34-35-1246SEKClientexposure–Internalsalesdesks’estimateofFXinvestorexposureIMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAa

6、ctivityRiskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”FXFundpositiontracker–RegressionbaseddecompositionofcurrencyfundpositioningBNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrenc

7、y’smomentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comChart2:AbsoluteTotalG10PositioningOverallabsoluteFXPositioning2705yAverage22017012070Au

8、g-14Feb-15Aug-15Feb-16Aug-16Feb-173-YearhistoricalplotofG10currencypositioningscoresChart3:USDOverallPositioningChart4:GBPOverallPositioning505030301010-10-10-