巴黎银行-全球-外汇策略-全球外汇定位分析-20190620-13页.pdfVIP免费

MACROQUANTSTRATEGY|G10FXPleaserefertoimportantinformationattheendofthereportFLASH|FXPOSITIONINGANALYSIS|GLOBAL20June2019MichaelSneyd,CFAAlexJekov,HeadofMacroQuantitative&DerivativesStrategy|KrisGjini,FXStrategist|,MacroQuantStrategist|BenedicteLowe,CrossAssetStrategist|BNPParibasLondonBranch™ThemarketremainsshorttheUSDatascoreof-9(-/+50scale)withtheFXFundPositionTrackerthemostshortcomponentofourpositioningmeasure.FXinvestorsextendCADlongstoascoreof+24from+18aweekago.TheFXFundPositionTracker,RiskReversal,andBuySellPressurecomponentsareallatextremelonglevels.GBPshortpositioningremainsmodestat-12.SmallshortAUDpositionscontinuetobeadded(-14).JPYpositioningisstillthelongestintheG10at+27,althoughlongpositionshavebeencutslightlyfromlastweek’slevel.Fig.1:BNPParibasFXPositioningAnalysis–overallpositioning*Source:BNPParibas*Thepositioningscoresabovearereportedasapercentilebasedonthepriorfiveyearsofdata.Thesepercentilesarerescaledtogiveavaluebetween−50and+50.Valuesabove40andbelow−40representextremepositions.Tointerpretascoreof−27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.ClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTrendingIndicatorBuySellPressure2230-30-49-9-17USD7-11-1350-1-8EUR321112453230JPY-34-1915-3-19-13GBP-18-31-39503046CHF-14-1046503143CAD-17-44-3449-36-2AUD-21-383250-20-13NZD17-31-47-219NOK-39--2845-84SEK-14-12-9-5-24462427-50-40-30-20-1001020304050AUDGBPUSDSEKNZDEURNOKCHFCADJPY19-Jun-201912-Jun-2019SHORTLONGSHORTLONGSHORTLONGSHORTLONGClientexposure–Internalsalesdesks’estimateofFXinvestorexposure.IMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity.Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”.FXFundpositiontracker–Regressionbaseddecompositionofcurrencyfundpositioning.BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentum.Buysellpres...