巴黎银行-全球-外汇策略-全球外汇定位分析-20190513-13页.pdfVIP免费

MACROQUANTSTRATEGY|G10FXPleaserefertoimportantinformationattheendofthereportFLASH|FXPOSITIONINGANALYSIS|GLOBAL13May2019MichaelSneyd,CFAAlexJekov,HeadofMacroQuantitative&DerivativesStrategy|KrisGjini,FXStrategist|,MacroQuantStrategist|BenedicteLowe,CrossAssetStrategist|BNPParibasLondonBranch™USDlongsareparedbacktoascoreof+9(-/+50scale)from+14lastweekasaresultoftheRiskReversalandClientSurveycomponentsturningmorenegativeontheUSD.GBPlongsarereducedtoascoreof+17astheRiskReversalandtheBNPParibasTrendingIndicatorcomponentsreducelongs.FXinvestorsextendJPYlongstoascoreof+14drivenbyallcomponentsturningmorepositiveontheJPY.AUDandNZDshortsextendtoscoresof-22and-18respectively.Fig.1:BNPParibasFXPositioningAnalysis–overallpositioning*Source:BNPParibas*Thepositioningscoresabovearereportedasapercentilebasedonthepriorfiveyearsofdata.Thesepercentilesarerescaledtogiveavaluebetween−50and+50.Valuesabove40andbelow−40representextremepositions.Tointerpretascoreof−27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.ClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTrendingIndicatorBuySellPressure1943-23114-2USD-5-20-17259-25EUR21-272833228JPY282327-291239GBP-28-46-36411-26CHF-18-3223183CAD-12-43-21-23-14-17AUD-31-33-2445-20-42NZD26-1536-1314NOK-41--35-20-39-39SEK-35-22-20-18-6-39141617-50-40-30-20-1001020304050SEKAUDCHFNZDEURCADUSDJPYNOKGBP13-May-201906-May-2019SHORTLONGSHORTLONGSHORTLONGSHORTLONGClientexposure–Internalsalesdesks’estimateofFXinvestorexposure.IMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity.Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”.FXFundpositiontracker–Regressionbaseddecompositionofcurrencyfundpositioning.BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentum.Buysellpressure–Anindicatorofpricemomentumanddirectionthatutilisestickdata,aggressorin...