20180109-法国巴黎银行-COMMODITY_QUANT_STRATEGY_Commodity_Positioning_Weekly__warning_signals_11页_438kb

报告摘要

COMMODITY QUANT STRATEGY SUMMARY

Core Content

This document is a weekly report on commodity positioning by BNP Paribas Brasil S.A., focusing on base metals, energy, and gold. It provides insights into market dynamics, speculative positions, and inventory levels, using a combination of quantitative analysis and market positioning scores. The report is authored by a team of commodity and FX/IR strategists.

Main Points

Base Metals Positioning

BNP Paribas Base Metals Positioning Score: Remains unchanged at 6.6 (from 5.4 in mid-December), indicating a non-parametric p-value of 21.1%, suggesting a neutral to slightly bullish market sentiment.
Nickel: Oversold at 10.2% (spec score), with a non-parametric probability of reversal at 89.1%. The positioning score has dropped to 2.5, indicating a strong divergence from price trends.
Zinc: Overbought at 23.2% (spec score), with a non-parametric probability of reversal at 86.1%. The positioning score has increased to 8.6.
Aluminum: Overbought at 17.9% (spec score), with a non-parametric probability of reversal at 2.2%. Deliverable stocks in Shanghai are not at record lows.
Copper: Slightly overbought at 27.0% (spec score), with a non-parametric probability of reversal at 15.6%. The positioning score is 6.7, up from 6.5 one week ago.

Inventory Levels and Supply-Demand Dynamics

Overall Metal Inventory Levels: Supportive for prices, with nickel and zinc deliverable stocks in Shanghai at record lows (1-year z-score).
Copper and Nickel: Show a considerable reduction in LME stocks.
Supply-Demand Tracker: Indicates a strong push-up from Chinese imports.

Energy and Gold

Crude Oil (WTI & Brent): Speculative positions are at record highs, with Brent at 15.1% and WTI at 21.1%. The DOE crude oil inventory is at a record low compared to the 12-month moving average, supporting prices.
Gasoline (RBOB): Positioning levels remain unchanged, with a speculative allocation of 22.1%. Low stock levels continue to support prices.
Gold: Positioning score is at 5.7, up from 5.0 in mid-December. The non-parametric probability of reversal is 44.2%, placing it slightly above neutrality. There is a strong co-movement with gold since 2014.

Key Information

Positioning Score Calculation: A combination of normalised data on weekly speculative allocations and stocks in place on LME, Comex, and Shanghai Futures Exchange.
Supportive Factors: Low inventory levels and strong speculative positions have been resilient supporting factors for market prices.
Reversal Probabilities: Highlight the likelihood of price correction based on current positioning and inventory levels.
Supply and Production Trends: Provided in Annex, showing data on global and regional supply, production, and import/export trends.

Summary of Key Metrics

Metal	Spec Score	1 Week Ago	1 Month Ago	2 Months Ago	3 Months Ago	6 Months Ago	9 Months Ago	1 Year Ago	Non-Parametric Probability
Copper	27.0%	26.3%	16.6%	24.9%	22.6%	15.8%	16.8%	23.1%	15.6%
Nickel	10.2%	9.9%	5.8%	14.1%	11.3%	9.8%	9.8%	19.3%	18.2%
Aluminum	17.9%	18.0%	14.2%	18.3%	16.8%	16.2%	21.4%	16.0%	2.2%
Zinc	23.2%	22.0%	18.5%	21.4%	19.7%	19.3%	21.6%	21.6%	13.9%
Consolidated	19.6%	19.1%	13.8%	19.7%	17.6%	15.3%	17.4%	20.0%	13.7%

Conclusion

The report highlights supportive inventory levels for base metals, particularly nickel and zinc, and overbought conditions for copper and aluminum, with nickel showing a notable divergence from its positioning score. Crude oil and gasoline markets remain overbought, with gold also showing a slightly bullish stance. The report serves as a non-independent research communication and is intended for professional clients and eligible counterparties.