巴黎银行-新兴市场-外汇市场-外汇定位分析

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1、Thisdocumenthasbeenproducedby:ThemarkethassubstantiallyrebuiltitslongEURposition,withBNPParibasLondonBranchtheoverallscorerisingto+27,from+13lastweek(-/+50score).FXinvestorsalsoappeartohavecutitsshortJPYpositionsNatalieRickardandunwounditsshortCHFpositionsomewhat

2、.FXStrategistShortNZDpositionsincreasedsignificantlyasFXfundsappeartohaveswitchedtoashortNZDposition.ShortSEKpositionsappeartohaveextendedfurtherto-15,thelargestshortSEKpositionssinceFebruary.Chart1:BNPParibasFXPositioningAnalysis–OverallPositioning*SHORTLONGEUR2

3、7CAD14GBP7320-Nov-2017JPYUSD-713-Nov-2017AUD-10NOK-12CHF-14SEK-15NZD-34-50-40-30-20-1001020304050Source:BNPParibas*ThepositioningscoresabovearereportedasapercentileFXFundBNPPClientRiskbasedonthepriorfiveyearsofdata.ThesepercentilesareIMMPositionTrendingExposureReve

4、rsalsrescaledtogiveavaluebetween-50and+50.ValuesaboveTrackerIndicator40andbelow-40representextremepositions.16-35-4133-7USD264438-2047EURTointerpretascoreof-27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyears-14-50154320JPYhavebeenbelow

5、thecurrentobservation.-3423-123324GBP-44-50-238-10CHF284422-4216CAD-193512-48-28AUD-33-43-34-18-43NZD-7-9-38-12NOK-3--6-45-6SEKClientexposure–Internalsalesdesks’estimateofFXinvestorexposureIMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTA

6、activityRiskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”FXFundpositiontracker–RegressionbaseddecompositionofcurrencyfundpositioningBNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency

7、’smomentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comChart2:AbsoluteTotalG10PositioningOverallabsoluteFXPositioning2705yAverage22017012070May-1

8、5Nov-15May-16Nov-16May-173YearhistoricplotofG10currencypositioningscoresChart3:USDOverallPositioningChart4:GBPOverallPositioning505030301010-10-1