20180130-法国巴黎银行-Commodity_Positioning_Weekly__Oil_positioning_score_continues_to_worsen_13页_510kb

COMMODITY QUANT STRATEGY SUMMARY

Core Content Overview

This report from BNP Paribas Brasil S.A. provides a detailed analysis of commodity positioning and market dynamics for base metals and energy commodities as of 30 January 2018. The focus is on the relationship between speculative positions, stock levels, and price trends.

Base Metals Positioning

Positioning Score Trends

• The BNP Paribas base metals positioning score is at 6.9, unchanged from the previous week, but up from 6.4 one month ago.
• Rolling 30-week correlation between the positioning score and market prices is 66%, down from 69% in December.
• The non-parametric p-value for the current score is 15.4%, indicating a supportive view for prices.

Individual Metals

• Copper: Positioning score is 5.9, down from 6.3 one week ago. It is now neutral (from a 1-year z-score perspective), and the non-parametric probability of reversal is 29.3%.
• Nickel: Positioning score is 4.4, up by 1.3pp from one month ago. The non-parametric probability of reversal is 53.2%, suggesting a high risk of price adjustment.
• Aluminum: Positioning score is 8.6, up from 8.2 one month ago. It is overbought, with a non-parametric probability of reversal at 2.3%.
• Zinc: Positioning score is 8.7, the highest since March 2017, indicating overextended levels. The non-parametric probability of reversal is 14.2%.

Stock Dynamics

• The 1-year rolling z-score of stock levels is used to assess market dynamics.
• Copper and nickel stocks in Shanghai have continued to recover, while copper stocks in LME have substantially recovered.
• Aluminum and copper consolidated stock levels are now in the positive camp.
• Supply-demand tracker shows a strong push-up from Chinese imports.

Energy Commodities

Crude Oil

• Brent and WTI crude oil speculative positions are at record highs (13.9% and 22.8% respectively).
• The difference between DOE crude oil inventory and the 12-month moving average is at a record low, acting as a supporting factor for resilient prices.

Gasoline

• Gasoline positioning remains unchanged, with a net speculative allocation of 19.9%.
• Low stock levels (measured as the spread between DOE motor gasoline inventory and 12-month moving average) continue to support prices.

Gold

• Gold positioning is measured using net speculative allocation from Comex, adjusted by open interest and normalised on a 0-10 scale.
• The current positioning score is 6.1, up from mid-December.
• The non-parametric probability of reversal is 54.9%, indicating slightly above neutrality.

Key Insights

• Overbought conditions persist for nickel, zinc, and aluminum, with copper moving closer to neutrality.
• Speculative positions in energy remain overbought, contributing to price resilience.
• Stock levels in base metals are recovering, particularly nickel and zinc in Shanghai.
• Supply-demand dynamics are driven by Chinese imports, with copper and zinc showing strong import trends.
• Positioning scores and market prices show a consistent co-movement since 2015 for copper, and since 2014 for gold.

Legal Notice

• This document is non-independent research and marketing communication.
• It is not investment research under MiFID II.
• It is intended for professional clients and eligible counterparties.
• No guarantees are made regarding the accuracy or completeness of the information.
• Past performance is not indicative of future results.
• Indicative prices are based on BNP Paribas internal models and may vary significantly from other sources.

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