全球-外汇策略-全球外汇定位分析

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1、MACROQUANTSTRATEGY

2、G10FXnFXinvestorsremainmoderatelylongtheUSDwithascoreof+12(-/+50scale).nEURshortshavereducedslightly,toascoreof-18.EURshortexposureremainsthelargestG10FXpositionintheG10.nThemarkethasparedbackitsshortAUDpositioningtoascoreof-9(from-19lastweek)as

3、theRiskReversalcomponentcontinuestoindicatebuildingofAUDlongs.nNZDlongshaveunwound;themarkethasextendedshortsonNZDtoascoreof-12.TheBuySellPressurecomponenthasturnedsignificantlyshortNZD.nLongJPYpositioninghasunwoundtoascoreof+10(from+16lastweek).Fig.1:BNPParibasFX

4、PositioningAnalysis–overallpositioning*NOKUSDJPYGBPCHFCADAUDNZDSEKEURSHORTLONG14129-305-Apr-201929-Mar-2019-8-9-12--181610-50-40-30-20-1001020304050FLASH

5、FXPOSITIONINGANALYSIS

6、GLOBAL8April2019ClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTrendingIndicato

7、rBuySellPressure18350231-3USD-20-21-1412-23-41EUR-1-7947-817JPY4122-27-15430GBP-13-39-3546157CHF-15-3121-47-531CAD1-4437-4310-17AUD-35620-20-6-38NZD43-26-41341NOK-18--22-46-29SEKSource:BNPParibas*Thepositioningscoresabovearereportedasapercentilebasedonthepriorfive

8、yearsofdata.Thesepercentilesarerescaledtogiveavaluebetween−50and+50.Valuesabove40andbelow−40representextremepositions.Tointerpretascoreof−27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.§Clientexpo

9、sure–Internalsalesdesks’estimateofFXinvestorexposure.§IMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity.§Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”.§FXFundpo

10、sitiontracker–Regressionbaseddecompositionofcurrencyfundpositioning.§BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentum.§Buysellpressure–Anindicatorofpricemomentumanddirectionthatutilisestickdata,aggressorinformationandpricemovements.Theover

11、allcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsMichaelSneyd,CFA,HeadofMacroQuantitative&DerivativesStrategy

12、AlexJekov,FXStrat