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G10 FX Market Positioning Summary

Core Content Overview

This document provides a comprehensive analysis of the positioning of G10 currencies (USD, EUR, GBP, JPY, CAD, CHF, AUD, NZD, NOK, SEK) by BNP Paribas based on various indicators. The positioning scores are derived from a percentile-based analysis of the past five years of data, rescaled to a range of -50 to +50. Extreme positions are defined as scores above +40 or below -40.

Key Market Positions

USD

• Overall Positioning Score: -9 (moderate short position)
• FX Fund Position Tracker: -49 (most short component)
• IMM (Commitment of Traders): -31
• Risk Reversals: -30
• Buy Sell Pressure: -17
• BNPP Trending Indicator: -9

EUR

• Overall Positioning Score: -11
• FX Fund Position Tracker: 50 (extreme long)
• IMM: -1
• Risk Reversals: -13
• Buy Sell Pressure: -8

GBP

• Overall Positioning Score: -12 (modest short)
• FX Fund Position Tracker: -19
• IMM: -34
• Risk Reversals: 15
• Buy Sell Pressure: -13

JPY

• Overall Positioning Score: +27 (longest in G10)
• FX Fund Position Tracker: 50 (extreme long)
• IMM: 7
• Risk Reversals: 12
• Buy Sell Pressure: 30

CAD

• Overall Positioning Score: +24 (increased from previous week)
• FX Fund Position Tracker: 50 (extreme long)
• IMM: 22
• Risk Reversals: -30
• Buy Sell Pressure: 46

CHF

• Overall Positioning Score: -10
• FX Fund Position Tracker: 50 (extreme long)
• IMM: -31
• Risk Reversals: -39
• Buy Sell Pressure: 31

AUD

• Overall Positioning Score: -14 (continued short)
• FX Fund Position Tracker: 49
• IMM: -18
• Risk Reversals: -34
• Buy Sell Pressure: -2

NZD

• Overall Positioning Score: -21
• FX Fund Position Tracker: -47
• IMM: 17
• Risk Reversals: 31
• Buy Sell Pressure: -8

NOK

• Overall Positioning Score: -39
• FX Fund Position Tracker: -47
• IMM: -19
• Risk Reversals: 32
• Buy Sell Pressure: -13

SEK

• Overall Positioning Score: -39
• FX Fund Position Tracker: 45
• IMM: -38
• Risk Reversals: -28
• Buy Sell Pressure: 4

Main Components of Positioning Analysis

• Client Exposure: Internal sales desks' estimate of FX investor exposure.
• IMM (Commitment of Traders): Reflects US-based hedge-fund/CTA activity.
• Risk Reversals: Indicates market sentiment through the relative price of calls and puts.
• FX Fund Position Tracker: Regression-based decomposition of fund positioning.
• BNPP Trending Indicator: Technical measure of currency momentum.
• Buy Sell Pressure: Utilizes tick data, aggressor information, and price movements to indicate momentum and direction.

Overall Currency Score Calculation

The overall positioning score is calculated as the equally weighted average of the above components.

Strategic Team

Editorial and Production Team

Important Notes

• This document is a marketing communication and not independent research.
• It is not investment research and is not subject to legal independence requirements.
• It does not constitute an offer to sell or issue securities.
• It is intended for Professional Clients and Eligible Counterparties only.
• No liability is accepted for any reliance on the information contained in this document.
• The document is confidential and may not be distributed without prior consent.
• Options and ETFs are complex and may not be suitable for all investors.
• Certain securities may be unregistered and only available to Qualified Institutional Buyers or non-US persons.