巴黎银行-全球-外汇市场-定位分析

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1、Thisdocumenthasbeenproducedby:ShortUSDpositionshavebeenparedbackslightlyfurther,withBNPParibasLondonBranchthescorenow-34(-/+50scale).ThemarketremainslongJPY,atascoreof+12.OurclientNatalieRickardsurveyindicatorshowslongpositionscontinuingtobebuilt.FXS

2、trategistTherehasbeenasubstantialbuildingofshortSEKpositionsoverthepastweek.Thescorehasgonefromneutralto-24.LongEURpositionscontinuetobeheld,atascoreof+16.Chart1:BNPParibasFXPositioningAnalysis–OverallPositioning*SHORTLONGNOK16EUR16JPY12226-Feb-2018G

3、BPCHF-119-Feb-2018CAD-3NZD-7AUD-9SEK-24USD-34-50-40-30-20-1001020304050Source:BNPParibas*ThepositioningscoresabovearereportedasapercentileFXFundBNPPClientRiskbasedonthepriorfiveyearsofdata.ThesepercentilesareIMMPositionTrendingExposureReversalsrescaled

4、togiveavaluebetween-50and+50.ValuesaboveTrackerIndicator40andbelow-40representextremepositions.-21-41-33-35-39USD1348-122011EURTointerpretascoreof-27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyears24-35291628JPYhavebeenbel

5、owthecurrentobservation.829-5-3311GBP-6-2831215CHF438-8-21-30CAD-1912-7-14-17AUD9-1-21-14-8NZD25-47-4132NOK-16--34-21-25SEKClientexposure–Internalsalesdesks’estimateofFXinvestorexposureIMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge

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

7、thestrengthofacurrency’smomentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comChart2:AbsoluteTotalG10PositioningOverallabsoluteFXPosi

8、tioning2705yAverage22017012070Aug-15Feb-16Aug-16Feb-17Aug-17Feb-183YearhistoricplotofG10currencypositioningscoresChart3:USDOverallPositioningChart4:GBPOverallPositioning505030301010-10-10-30-30-50-50Apr-15Oct-15Apr-16Oct-16Apr-17Oct-17A