20171128-法国巴黎银行-Commodity_Positioning_Weekly__Adjustment_underway_13页_395kb

COMMODITY QUANT STRATEGY SUMMARY

Core Content

This report provides a detailed analysis of the positioning and dynamics of base metals (copper, nickel, aluminium, zinc) and energy commodities (Brent and WTI crude oil, gasoline) as well as gold, based on BNP Paribas' proprietary positioning score model. The report highlights the current market sentiment, technical indicators, and stock levels across various exchanges, offering insights into potential price movements and market conditions.

Main Points

Base Metals Positioning

• Overall Positioning Score: BNP Paribas base metals positioning score is at 6.9 (out of 10), down from 7.6 one month ago.
• Copper: Score at 5.8, down by 1.1pp from two weeks ago. The score corresponds to a 29.4% non-parametric probability of reversal.
• Nickel: Score at 5.0, down by 1.8pp from one month ago. The non-parametric probability of a price reversal is now 51.9%, indicating a shift from overbought to neutral.
• Aluminium: Score at 8.1, indicating it is overbought. This is the highest level in two years, and it is the only metal with stable, positive stocks in Shanghai.
• Zinc: Score at 8.5, slightly up from the previous week. Still overbought with a 14.8% non-parametric probability of reversal, though not as extreme as aluminium.

Key Observations

• Copper and Nickel: Speculators have reduced positions in copper and nickel. Overbought levels persist for aluminium and zinc.
• Stock Levels:
  • Deliverable stocks in Shanghai for copper and nickel are at historical lows.
  • Zinc stocks have reached a bottom in 2017.
  • Aluminium is the only metal with stable, positive stocks.
• Brent Crude Oil: Remains overbought, with speculative positions at record highs. The difference between the DOE crude oil total inventory and the 12-month moving average is the smallest since 2011, indicating a supportive factor for prices.

Energy & Gold

• Brent Crude Oil: Positioning score at 9.3, the highest in the report. This suggests strong speculative interest.
• Gasoline: Positioning score is at neutrality, but low inventory levels relative to the 12-month moving average support prices.
• Gold: Positioning is based on Comex net speculative allocation adjusted by open interest. There is considerable co-movement with gold since 2014, and ETF holdings are also used as a proxy.

Key Information

• The positioning score combines normalised data on speculative allocations and stocks on the London Metal Exchange (LME), Comex, and Shanghai Futures Exchange (SFE).
• Non-parametric p-values are used to estimate the probability of a price reversal, indicating the likelihood of market correction.
• Stock dynamics are measured using a 1-year rolling z-score of weekly stock releases.
• The report includes charts and tables that illustrate the positioning scores and stock dynamics over time.
• Annex 1 provides detailed stock data for Comex, LME, and SFE.
• Annex 2 includes a non-linear regression analysis using nickel and copper positioning scores to assess market overextension.

Strategic Insights

• The current positioning scores suggest a reversal probability for most base metals, with the exception of nickel, which shows signs of improvement.
• Aluminium and zinc remain overbought, with aluminium showing the lowest reversal probability at 2.7%.
• Brent crude oil is in a strong speculative position, which may support prices in the short term.
• Gold shows strong correlation with positioning and ETF holdings, reinforcing its current market status.

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

Legal Disclaimer

• This document is non-independent research and is intended for Relevant Persons as defined under MiFID and EU directives.
• It is not investment research and should not be relied upon for investment decisions.
• BNP Paribas does not provide investment, financial, legal, or tax advice.
• The document may include indicative prices based on internal models and may not reflect actual transaction terms.
• Performance data is based on back-testing and is for illustrative purposes only.
• Confidentiality: The document is for internal use only and may not be distributed without prior written consent.

Summary

The report highlights that speculative positions in base metals have decreased, with copper and nickel showing signs of correction. Aluminium and zinc remain overbought, though aluminium has stable stocks. Brent crude oil continues to show strong speculative interest, with low inventory levels supporting prices. Gold is also monitored through positioning and ETF data. The report includes detailed charts and tables for further analysis, and it is important to note the legal disclaimer regarding the non-independent nature of the research and its intended audience.