巴黎银行-全球-外汇市场-外汇定位分析-20171106-bnp_paribas_-fx_positioning_analysis

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1、Thisdocumenthasbeenproducedby:Overtheweek,shortJPYpositionshavestartedtoberebuilt,BNPParibasLondonBranchwiththeoverallscorenowat-8(-/+50scale).FXinvestorsappeartohaverebuiltalongCADpositionthisNatalieRickardweek.Atascoreof+15,CADisnowthelargestlongintheG10.FXS

2、trategistThemarkethasincreaseditsshortSEKpositionto-12,thelargestSEKshortsinceApril.FXfundsappeartobeparticularlyshortSEK.USDpositioningremainsneutral,afterthemarketparedbacklargeshorts.LongEURpositionscontinuetobeheld.Chart1:BNPParibasFXPositioningAnalysis–Ov

3、erallPositioning*SHORTLONGCAD15EUR13GBP7406-Nov-2017NOKUSD-130-Oct-2017AUD-1JPY-8SEK-12NZD-20CHF-23-50-40-30-20-1001020304050Source:BNPParibas*ThepositioningscoresabovearereportedasapercentileFXFundBNPPClientRiskbasedonthepriorfiveyearsofdata.Thesepercentilesare

4、IMMPositionTrendingExposureReversalsrescaledtogiveavaluebetween-50and+50.ValuesaboveTrackerIndicator40andbelow-40representextremepositions.19-40-40488USD174314-3726EURTointerpretascoreof-27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfive

5、years-30-465282JPYhavebeenbelowthecurrentobservation.-3623-63816GBP-34-4507-44CHF254717-4327CAD-23810-49-4AUD-41-34-2737-35NZD-2-28-167NOK16--7-49-8SEKClientexposure–Internalsalesdesks’estimateofFXinvestorexposureIMM–Thecommitmentoftraders(COT)isawidelyusedpro

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

7、easureofthestrengthofacurrency’smomentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportwww.GlobalMarkets.bnpparibas.comChart2:AbsoluteTotalG10PositioningOverallabsoluteFXPositi

8、oning5yAverage26021016011060Dec-14Jun-15Dec-15Jun-16Dec-16Jun-173YearhistoricplotofG10currencypositioningscoresChart3:USDOverallPositioningChart4:GBPOverallPositionin