巴黎银行-外汇定位分析

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1、Thisdocumenthasbeenproducedby:FXinvestorscontinuetoholdlargeshortUSDpositionsintheBNPParibasLondonBranchnewyear,withthescoremoderatingslightlyto-18,from-26on18December(-/+50scale).NatalieRickardTheEURremainsthelargestlongintheG10,atascoreof+28.FXStrategistFXinvestorsappeartobestartingt

2、orebuildlongSEKAlexJekovpositions,withthescorerisingto+18.GraduateThetwolargestshortpositionsareheldinCHFandJPY–bothhaveascoreof-23.Chart1:BNPParibasFXPositioningAnalysis–OverallPositioning*SHORTLONGEUR28SEK18CAD13002-Jan-2018GBPAUD-318-Dec-2017NOK-8NZD-16USD-18JPY-23CHF-23-50-40-30-20-1

3、001020304050Source:BNPParibas*ThepositioningscoresabovearereportedasapercentileFXFundBNPPClientRiskbasedonthepriorfiveyearsofdata.ThesepercentilesareIMMPositionTrendingExposureReversalsrescaledtogiveavaluebetween-50and+50.ValuesaboveTrackerIndicator40andbelow-40representextremepositions.1

4、2-29-386-43USD174654133EURTointerpretascoreof-27,forexample,add50togive23.-22-418-40-18JPYThistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.-834-17-103GBP-46-265-20-29CHF13381-1023CAD-21-640-4111AUD-13-495-8-13NZD-12--4-9-7NOK34-13-831SEKClientexposur

5、e–Internalsalesdesks’estimateofFXinvestorexposureIMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivityRiskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”FXFundpositiontracker–Regressionbasedde

6、compositionofcurrencyfundpositioningBNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comChart2:Absolut

7、eTotalG10PositioningOverallabsoluteFXPositioning2705yAverage22017012070Aug-14Feb-15Aug-15Feb-16Aug-16Feb-17Aug-173YearhistoricplotofG10currencypositioningscoresChart3:USDOverallPositioningChart4:GBPOverallPositioning505030301010-10-10-30-30-50-50Feb-15Aug-15Feb-16Au