全球外汇策略-全球外汇定位分析

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1、Thisdocumenthasbeenproducedby:BNPParibasLondonBranchMichaelSneydGlobalHeadofFXStrategy&Cross-AssetStrategistAlexanderJekovGraduatenFXinvestorsparedtheirUSDlongpositionsfromascoreof+23(+/-50scale)to+16overthepastweek.ThereductioninUSDlongswaslargestinth

2、eriskreversalcomponent.nNOKlongpositionshavealsobeencuttoascoreof+24.Theclientsurveycomponentremainssignificantlylongat+46.nThemarketremainsshorttheGBPwithascoreof-28.FXfundsholdanextremeshortpositionatascoreof-50.Chart1:BNPParibasFXPositioningAnalysis–O

3、verallPositioning*NOKUSDJPYEURCADAUDSEKCHFNZDGBPSHORTLONG162-7-26-Jul-201819-Jul-2018-10-16-18-28-28824-50-40-30-20-1001020304050Source:BNPParibasClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTrendingIndicator35254114USD-1119-37-2-3EUR-1421227J

4、PY-24-23-23-50-18GBP-22-50-2012CHF-12-3227-339CAD1-3116-34-1AUD-40-4913-43-19NZD46-43-411NOK-14--13-391SEK*Thepositioningscoresabovearereportedasapercentilebasedonthepriorfiveyearsofdata.Thesepercentilesarerescaledtogiveavaluebetween-50and+50.Valuesabove

5、40andbelow-40representextremepositions.Tointerpretascoreof-27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.·Clientexposure–Internalsalesdesks’estimateofFXinvestorexposure·IMM–Thecommitmen

6、toftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity·Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”·FXFundpositiontracker–Regressionbaseddecompositionofcurrencyfundpositi

7、oning·BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comChart2:Abs

8、oluteTotalG10PositioningOverallabsoluteFXPositioning5yAverage27022017012070Aug-15Feb-16Aug-16Feb-17Aug-17Feb-18Three-yearplotofG10currencypositioningscoresChart3:USDOverallPositioningChart4:GBPOverallPositioning50503030101