巴黎银行-全球-外汇策略-全球外汇分析-20190124-12页.pdfVIP免费

MACROQUANTSTRATEGY|G10FXMichaelSneyd,CFAAlexJekov,HeadofMacroQuantitative&DerivativesStrategy|KrisGjini,FXStrategist|,CrossAssetStrategist|BenedicteLoweShaunDaly,CrossAssetStrategist|,FXStrategist|BNPParibasLondonBranchFXPOSITIONINGANALYSIS|GLOBAL24January2019USDpositioningremainsneutral.GBPshortshavemoderatedto-16from-22lastweekastheTrendingIndicatorcomponenthasextendeditslargelongpositioning.EURshortshavebeencutto-12andJPYlongscutto+18.CADshortshavebeensqueezedleavingthemarketneutralontheCAD(at+1from-8lastweek).ThemarkethasincreaseditsNOKandCADlongpositionsto+14and+10,respectively,andincreasedshortpositionsontheSEKandCHFto-8and-9,respectively.TheAUDisnowthelargestG10shortwithshortsincreasedtoascoreof-17overtheweek.Chart1:BNPParibasFXPositioningAnalysis–overallpositioning*Source:BNPParibas*Thepositioningscoresabovearereportedasapercentilebasedonthepriorfiveyearsofdata.Thesepercentilesarerescaledtogiveavaluebetween-50and+50.Valuesabove40andbelow-40representextremepositions.Tointerpretascoreof-27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.ClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTrendingIndicatorBuySellPressure-3296-32-516USD-949-5-26-43EUR36-3326301729JPY-5-30-28-2124-33GBP-4-34-33-9-1847CHF-268-1839-1112CAD4-23-29-8-17-26AUD-231935-13833NZD43-27-3-1316NOK-10-18-93-42SEK-17-16-12-9-812101418-50-40-30-20-1001020304050AUDGBPEURCHFSEKCADUSDNZDNOKJPY23-Jan-201916-Jan-2019SHORTLONGSHORTLONGSHORTLONGSHORTLONGClientexposure–Internalsalesdesks’estimateofFXinvestorexposureIMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivityRiskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”FXFundpositiontracker–RegressionbaseddecompositionofcurrencyfundpositioningBNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentumBuysellpressure–Anindicatorofpricemomentumanddi...