20180417-法国巴黎银行-COMMODITY_QUANT_STRATEGY_14页_562kb

Commodity Quant Strategy Summary

Core Content

This document provides a weekly analysis of commodity and energy market positioning by BNP Paribas, focusing on base metals, crude oil, gold, and silver. It highlights the current speculative positions, inventory levels, and market dynamics across these commodities, using a combination of data from the Comex, LME, and Shanghai Futures Exchange.

Main Points

Base Metals Positioning

• Consolidated Base Metal Stocks: Stabilized at the margin.
• Copper:
  • Positioning score is 6.3, stable compared to one month ago.
  • Overbought, with a non-parametric probability of 24.5%.
  • Despite being overbought, the market is expected to reverse slowly to the downside.
• Nickel:
  • Stock levels are at lows, with a positioning score of 0.4, the lowest since 2013.
  • LME stocks remain near the lowest levels since 2012.
  • Chinese imports have recovered considerably YTD, supporting nickel prices.
• Aluminum:
  • Positioning score is 5.0, indicating near neutrality.
  • Score is 0.5pp above the value from one month ago.
  • Recent profits were taken on the long position signaled by the TIF model.
• Zinc:
  • Positioning score is 1.9, 0.6pp below one month ago.
  • Non-parametric probability is 30.1%, indicating a neutral position.
  • Zinc stocks are 10% above the average of the last six months.

Crude Oil Positioning

• WTI Crude Oil:
  • Net speculative position is 22.0%, one of the highest levels since 2010.
  • Z-score is 2.4x, indicating stretched positioning.
  • Net speculative positions total USD 83.4bn, up from USD 80.9bn two weeks ago.
• Brent Crude Oil:
  • Net speculative position is 15.4%, with a z-score of 2.3x.
  • Net speculative positions total USD 83.4bn.
• Inventory Dynamics:
  • The difference between DoE crude oil inventory and 12-month moving average does not suggest an imminent reversal.
  • Both Brent and WTI crude oil remain overbought.

Silver and Natural Gas

• Silver:
  • Net speculative position is -6.8%, the most oversold precious metal.
  • Non-parametric probability of reversal is 3.9%.
  • Speculators are net short on silver.
• Natural Gas:
  • Net speculative position is -6.7%, indicating net short positioning.
  • Speculators are net short on natural gas.

Gold Positioning

• Gold:
  • Positioning score is 5.6, 0.5pp below the value from two weeks ago.
  • Non-parametric probability of reversal is 41.6%, placing gold around neutral levels.
  • Co-movement with speculators and ETF holdings since 2014.

Energy & Gasoline

• Gasoline RBOB:
  • Net speculative position is 16.6%, equivalent to a normalised score of 5.5.
  • Inventory levels have recovered from the lows in November 2017, indicating a seasonal effect.

China and Global Economic Activity Monitor

• China:
  • Economic activity indicators show a smooth slowdown.
  • This is closely monitored as it affects the multifactor model.
• Global Demand:
  • No elements suggest a change in trend in global demand.

Key Information

• Data Sources: Bloomberg LLP and BNP Paribas.
• Timeframe: Data is as of 16 April 2018.
• Methodology:
  • Positioning scores are calculated using net speculative positions adjusted by open interest.
  • Non-parametric probability is used to assess the likelihood of a reversal.
• Important Notes:
  • The document is a marketing communication and not investment research.
  • It may be subject to conflicts of interest due to interaction with sales and trading.
  • No liability is accepted for any use of the document.

Summary Table

Contacts