20180206-法国巴黎银行-Commodity_Positioning_Weekly__Oil_positioning_remains_overbought_13页_543kb

COMMODITY QUANT STRATEGY SUMMARY

Core Content

This report from BNP Paribas Brasil S.A. provides an analysis of commodity positioning and stock dynamics across various metals and energy products. It highlights the speculative positions, inventory levels, and market trends in base metals (copper, nickel, aluminum, zinc) and energy (crude oil, gasoline, gold), with a focus on the relationship between market positioning and price movements.

Main Points

Base Metals Positioning

• The 30-week rolling correlation between base metals weekly returns and BNP Paribas positioning score increased to 68% (from 66% in December).
• The base metals positioning score decreased to 6.6 (from 6.9 one week ago), indicating a slight retreat in overall speculative positions.
• Nickel positioning is supportive, with a score of 4.0 (up from 4.4 one month ago), and a non-parametric probability of reversal at 63.3%.
• Zinc and aluminum remain overbought, with scores of 8.1 and 8.4 respectively.
• Copper positioning score is at 6.1, slightly above last week, and the non-parametric probability of reversal is 27.4%.
• Consolidated base metals speculative positions decreased from 19.6% one month ago to 17.4% now, with a non-parametric probability of reversal at 73.4%.

Stock Dynamics

• Stocks are measured using a 1-year rolling z-score.
• Copper has surpassed neutrality, with a z-score of 0.64.
• Shanghai nickel stocks have continued to recover, while LME stocks for nickel are still in downward trend.
• Aluminum and copper consolidated stocks have moved to positive territory.
• Zinc stocks remain overextended with no signs of improvement.

Energy & Gold

• Brent and WTI crude oil net speculative allocations are at record high levels (14.7% and 22.6% respectively), and the difference between inventory and 12-month moving average is at a record low, indicating supportive levels for prices.
• Gasoline positioning remains unchanged, with a speculative allocation of 19.4%, and stock levels have recovered somewhat from November 2017 lows.
• Gold positioning score is at 6.2, with a non-parametric probability of reversal at 57.4%, slightly above neutrality.

Key Information

Positioning Score Interpretation

• The BNP Paribas positioning score (0–10 scale) combines normalised data on weekly speculative allocations and stock levels.
• A lower score indicates supportive conditions for the price, while higher scores suggest overbought or bearish sentiment.

Supply-Demand Tracker

• Supply-demand data from Chinese imports shows a strong push-up in recent weeks.
• Copper has moved to positive z-score, while nickel has seen a significant recovery in Shanghai stock levels.

Legal & Disclaimer Notes

• This document is non-independent research and not investment research under MiFID II.
• It is a marketing communication and not intended for general public use.
• Past performance is not indicative of future results.
• The information may be subject to change and not verified by BNPP.
• Conflicts of interest may exist due to the interaction with sales and trading.

Summary of Key Metrics

Summary of Inventory & Speculative Positions

Conclusion

The report indicates that base metals show a mixed picture with nickel and copper in supportive conditions, while aluminum and zinc remain overbought. Energy and gold are also overbought with supportive inventory levels. The positioning scores and stock dynamics are closely linked to price trends, with lower scores generally indicating positive price momentum. The analysis is based on speculative allocations, inventory levels, and historical data, and is intended for professional clients and eligible counterparties.