20180716-法国巴黎银行-FX_QUANT_INSIGHT_FX_POSITIONING_ANALYSIS_13页_719kb

FX Positioning Analysis Summary - 16 July 2018

Core Content

This document provides a detailed analysis of FX positioning scores as of 16 July 2018, produced by BNP Paribas London Branch. It outlines the current sentiment and exposure levels among FX investors, based on multiple sources including Client Exposure, IMM (Commitment of Traders), Risk Reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The positioning scores are calculated on a -50 to +50 scale, derived from percentile rankings based on five years of historical data.

Key Findings

• USD: FX investors increased their long USD positions to a score of +23, indicating a positive sentiment towards the US Dollar. The Risk Reversal Component also showed an increase in long positions.
• EUR: EUR short positioning has been completely unwound, resulting in an overall positive score of +3, which marks the first positive score since early May.
• JPY: JPY long positions were reduced from +15 to +7, but fast money investors still hold a significant long position at +47, suggesting strong speculative interest in the Japanese Yen.
• AUD: AUD short positioning decreased from -16 to -8, indicating a reduction in bearish sentiment.
• GBP: GBP positioning is at -27, which implies that 23% of historical observations were below the current level.
• CHF: CHF positioning is at -18, with IMM showing a more bearish stance at -49.
• CAD: CAD positioning is at -16, with IMM at -34.
• NZD: NZD positioning is at -41, with IMM at -34 and BNPP Trending Indicator at -32.
• NOK: NOK positioning is at +42, with Risk Reversals at +45.
• SEK: SEK positioning is at -11, with BNPP Trending Indicator at -19.

Main Components of the Analysis

The overall currency positioning score is calculated as the equally weighted average of the following components:

• Client Exposure
• IMM (Commitment of Traders)
• Risk Reversals
• FX Fund Position Tracker
• BNPP Trending Indicator

Each component provides a unique insight into market sentiment and positioning. For instance:

• Risk Reversals reflect the relative price of calls vs. puts, incorporating option market sentiment.
• IMM serves as a proxy for US-based hedge-fund/CTA activity.
• FX Fund Position Tracker is based on regression analysis of fund positioning.

Chart References

The document includes several charts that visually represent the positioning scores for various currencies:

• Chart 1: Overall FX Positioning Score
• Chart 2: Absolute Total G10 Positioning
• Chart 3: USD Overall Positioning
• Chart 4: GBP Overall Positioning
• Chart 5: EUR Overall Positioning
• Chart 6: JPY Overall Positioning
• Chart 7: AUD Overall Positioning
• Chart 8: NZD Overall Positioning
• Chart 9: NOK Overall Positioning
• Chart 10: CHF Overall Positioning
• Chart 11: SEK Overall Positioning

All charts are sourced from BNP Paribas and provide a historical and current view of FX positioning across major currencies.

Legal and Disclaimer Information

The document is non-independent research and is intended for Relevant Persons as defined under MiFID II. It may contain Research content, which is available only to those who have signed up for BNPP Global Markets Research packages.

Important disclaimer points include:

• The document is not investment research and not subject to independence requirements.
• No liability is accepted for any losses resulting from reliance on the information.
• Performance data is based on back-testing and is not indicative of future results.
• Options and ETFs discussed may involve high risk and are not suitable for all investors.
• The document may be distributed only to qualified institutional buyers or non-US persons under applicable regulations.
• Securities mentioned may not be eligible for sale in all jurisdictions.

Contacts

• Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist
• Alexander Jekov: Graduate
• Sam Lynton-Brown, Natalie Rickard, Wike Groenenberg, Marcelo Carvalho, Sai Ulluri, Shaun Daly, Erkin Isik, CFA, Altaz Daga, Dawn Kwa, Kun Shan, Tianhe Ji, Gabriel Gersztein, Samuel Castro, Luca Maia, Andre Digiacomo: FX Strategists and related professionals across various branches and locations.

Additional Information

• The document is available via the BNP Paribas Global Fixed Income Website and Bloomberg.
• It is a marketing communication and not a prospectus or investment advice.
• The information is confidential and should not be distributed without prior written consent.

Summary

This report provides a comprehensive overview of FX positioning across major currencies, highlighting positive and negative sentiment shifts, with a focus on USD, EUR, JPY, AUD, and others. The analysis is based on percentile data and includes multiple sources to gauge market sentiment. It is important to note that no investment advice is given, and liability is disclaimed for any reliance on the content.