巴黎银行-全球-外汇策略-全球外汇定位分析-20190311-13页.pdfVIP免费

MACROQUANTSTRATEGY|G10FXPleaserefertoimportantinformationattheendofthereportFLASH|FXPOSITIONINGANALYSIS|GLOBAL11March2019MichaelSneyd,CFAAlexJekov,HeadofMacroQuantitative&DerivativesStrategy|KrisGjini,FXStrategist|,MacroQuantStrategist|BenedicteLowe,CrossAssetStrategist|BNPParibasLondonBranch™USDlongshaveextendedtoascoreof+14(−/+50scale)from+8,drivenbytheFXFundscomponentaddingtolongs.FXinvestorsincreasedJPYlongstoascoreof+14overthepastweek,asallcomponentswiththeexceptionoftheIMMcomponentturnedmorepositiveontheJPY.ThemarketrebuiltEURshortswithascoreof−9asaresultoftheBuySellPressurecomponentturningmorebearishontheEUR.NOKlongswereunwoundtoascoreof−1andSEKshortswereextendedtoascoreof−21.Fig.1:BNPParibasFXPositioningAnalysis–overallpositioning*Source:BNPParibas*Thepositioningscoresabovearereportedasapercentilebasedonthepriorfiveyearsofdata.Thesepercentilesarerescaledtogiveavaluebetween−50and+50.Valuesabove40andbelow−40representextremepositions.Tointerpretascoreof−27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.ClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTrendingIndicatorBuySellPressure1724-632131USD-13-11021-15-34EUR-143421127JPY452-23-432025GBP-21-37-34360-7CHF-8-2918-32-813CAD-12-30-15-11-10-32AUD-2013483325-17NZD35-26-50-268NOK-26--287-35-23SEK-21-18-11-9-8-14141414-50-40-30-20-1001020304050SEKAUDCHFEURCADNOKGBPNZDUSDJPY08-Mar-201901-Mar-2019SHORTLONGSHORTLONGSHORTLONGSHORTLONGClientexposure–Internalsalesdesks’estimateofFXinvestorexposure.IMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity.Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”.FXFundpositiontracker–Regressionbaseddecompositionofcurrencyfundpositioning.BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentum.Buysellpressure–Anindicatorofpricemomentumanddirectionthatutilisestic...