20171219-法国巴黎银行-COMMODITY_QUANT_STRATEGY_Commodity_Positioning_Weekly__positioning_is_the_most_important_factor_to_explain_prices_now_12页_466kb

COMMODITY QUANT STRATEGY SUMMARY

Core Content

This report provides a detailed analysis of commodity positioning and market dynamics for base metals, energy, and gold, with a focus on the BNP Paribas positioning score and its correlation with market prices. The positioning score is derived from normalised data on weekly speculative allocations and stock levels on LME, Comex, and Shanghai Futures Exchange. The report also includes inventory levels, open interest, and supply trends.

Main Points

Base Metals Positioning

• BNP Paribas Base Metals Positioning Score: Increased to 5.9 this week from 5.4 last week, indicating a shift from neutrality to slightly overbought levels.
• 30-week Rolling Correlation: Remains strong at 60%, highlighting the significance of positioning in explaining price movements.
• Individual Metals:
  • Copper: Score at 4.9, down from 4.8 last week. Non-parametric probability is 45.3%, suggesting a potential downward trend.
  • Nickel: Score at 3.1, up from 2.6 last week. Currently oversold, with an 81.2% probability of a price reversal.
  • Aluminum: Score at 7.8, up from 7.3 last week. Overbought, with a 4.8% non-parametric probability, indicating a high likelihood of reversal.
  • Zinc: Score at 7.7, up from 6.9 last week. Overbought, with a 34.8% non-parametric probability, suggesting a possible reversal.
• Inventory Levels:
  • Overall metal inventory levels are supportive.
  • Deliverable stocks in Shanghai are at low levels for Nickel and Copper.
  • Aluminum stocks in Shanghai are not at record lows.
  • LME stocks for Copper have seen considerable reductions.

Energy and Gold Positioning

• Crude Oil (Brent & WTI):
  • Brent and WTI crude oil net speculative allocations are at record highs (14.8% and 19.5% respectively).
  • The difference between DOE crude oil inventory and 12-month moving average is near all-time lows, supporting prices.
• Gasoline (RBOB):
  • Net speculative allocation is at 18.8%, indicating neutrality.
  • Low stock levels are a key driver, with the spread over 12-month moving average at a critical level.
• Gold:
  • Net speculative allocation on Comex is at 5.0, below the previous level of 6.8.
  • The positioning score remains above neutrality, with a non-parametric probability of 5.0.
  • ETF holdings have shown considerable co-movement with gold since 2014.

Key Information

• Positioning Score Interpretation: The score is a combination of net speculative positions and stock levels, normalised on a 0-10 scale.
• Non-parametric Probability: Indicates the likelihood of a price reversal or continuation based on historical data.
• Inventory Analysis: 1-year rolling z-scores are used to measure inventory levels, with lower scores indicating tighter supply.
• Supply Trends:
  • Copper ore imports from China increased significantly in November 2017.
  • Zinc refined imports from China decreased by 21%.
  • Iron ore imports from China decreased by 23%, while exports from Australia and Brazil showed slight changes.
  • Aluminium and Nickel production and supply trends show varied movements.
• Market Outlook:
  • Copper is expected to trend downwards due to its positioning score and inventory levels.
  • Nickel is oversold, suggesting a potential price reversal.
  • Aluminum and Zinc are overbought, with high reversal probabilities.
  • Energy markets are supported by high speculative positions and low inventory levels.

Legal and Disclaimer Information

• This document is non-independent research and constitutes a marketing communication.
• It is not investment research and should not be relied upon as such.
• BNP Paribas may have financial interests in the mentioned issuers or persons.
• No liability is accepted for any reliance on the information or opinions provided.
• The document may include back-tested performance data, which is for illustrative purposes only.
• Past performance is not indicative of future results.

Contacts

• Gabriel Gersztein: Head of GM Latam Strategy, +55 11 3841 3421, gabriel.gersztein@br.bnpparibas.com
• Gustavo Mendonca: FX & IR Latam Strategy, +55 11 3841 3445, gustavo.mendonca@br.bnpparibas.com
• Samuel Castro: FX & IR Latam Strategy, +55 11 3841 3492, samuel.castro@br.bnpparibas.com
• Robert McAdie: Global Markets Head of Strategy, London, +44 20 7595 8885, robert.mcadie@uk.bnpparibas.com
• Michael Sneyd: Global Head of FX Strategy & Cross-Asset Strategist, London, +44 20 7595 1307, michael.sneyd@uk.bnpbaribas.com

Important Notes

• The document is for information purposes only and does not constitute an offer to buy or sell any financial instruments.
• It is not intended to provide investment, tax, legal, or other advice.
• Recipients are advised to consult with independent advisors before making any investment decisions.