巴黎银行-全球-外汇策略-全球外汇定位分析-20190606-13页.pdfVIP免费

MACROQUANTSTRATEGY|G10FXPleaserefertoimportantinformationattheendofthereportFLASH|FXPOSITIONINGANALYSIS|GLOBAL6June2019MichaelSneyd,CFAAlexJekov,HeadofMacroQuantitative&DerivativesStrategy|KrisGjini,FXStrategist|,MacroQuantStrategist|BenedicteLowe,CrossAssetStrategist|BNPParibasLondonBranch™OverallG10FXPositioningdeclinesclosetotheyear’slowandtowellbelowitsfive-yearaverage(Figure2).ThemostcrowdedpositionintheG10isintheJPYwherethemarketislongwithascoreof+30(-50/+50).ThemarketaddsUSDshortswithascoreof-7asaresultoftheRiskReversalandBuy-SellPressurecomponentsextendingshorts.ThisrepresentstheshortestUSDscoresince24April2018.FXinvestorsunwindNOKlongsfromascoreof+13to0asallcomponentsturnlesspositiveontheNOK.Fig.1:BNPParibasFXPositioningAnalysis–overallpositioning*Source:BNPParibas*Thepositioningscoresabovearereportedasapercentilebasedonthepriorfiveyearsofdata.Thesepercentilesarerescaledtogiveavaluebetween−50and+50.Valuesabove40andbelow−40representextremepositions.Tointerpretascoreof−27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.ClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTrendingIndicatorBuySellPressure2341-31-50-12-13USD3-18-950-5-25EUR30329403145JPY-281848-25-31GBP-26-42-36443246CHF-17-253828-427CAD-12-46-3946-13-14AUD-26-3822501-17NZD23-15-42-1922NOK-36--20447-14SEK-13-7-5-4-1-103830-50-40-30-20-1001020304050AUDUSDGBPSEKEURNZDNOKCHFCADJPY05-Jun-201929-May-2019SHORTLONGSHORTLONGSHORTLONGSHORTLONGClientexposure–Internalsalesdesks’estimateofFXinvestorexposure.IMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity.Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”.FXFundpositiontracker–Regressionbaseddecompositionofcurrencyfundpositioning.BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentum.Buysellpressure–Anindicatorofpricemomentumanddirection...