20180103-法国巴黎银行-Commodity_Positioning_Weekly__positioning_and_stocks_remain_the_most_important_factors_11页_494kb

Commodity Quant Strategy Summary

Core Content

This report from BNP Paribas Brasil S.A. provides an analysis of commodity positioning and stock levels, focusing on base metals and energy commodities. The main goal is to assess market dynamics and identify potential price trends using speculative positions, inventory levels, and rolling correlations.

Main Viewpoints

• Base Metals Positioning:
  The 30-week rolling correlation between base metals weekly returns and BNP Paribas positioning score has increased to 70.7% from 60% in December.

  • The base metals score is at 6.6 (out of 10), up from 5.4 in mid-December.
  • Nickel is oversold, while Zinc and Aluminum are overbought.
  • Copper and Nickel have seen significant reductions in LME stocks, with Nickel now at the lowest level since Q2 2016.
  • Aluminum is the only metal with deliverable stocks in Shanghai not at record lows.
  • The supply-demand tracker indicates a strong push-up from Chinese imports, supporting metal prices.
  • Copper positioning score is at 6.6, indicating a non-parametric probability of 21.3% for a price reversal.
  • Nickel positioning score is at 3.1, with a non-parametric probability of 81.8% for a reversal.
  • Zinc is at overbought levels, with a 23.2% probability of reversal.
  • Aluminum is at overbought levels, with a 1.9% probability of reversal.

• Energy Commodities:

  • Brent and WTI crude oil speculative positions are at record highs, with Brent at 15.0% and WTI at 21.8%.
  • The difference between DOE crude oil inventory and the 12-month moving average is at all-time lows, supporting market prices.
  • Gasoline (RBOB) positions are at 21.2%, up from 18.6% in early December.
  • Low gasoline stocks relative to the 12-month moving average are a resilient supporting factor for prices.

• Gold:

  • The gold positioning score is at 5.5, up from 5.0 in mid-December.
  • Non-parametric probability of reversal is 61.5%, indicating a slightly bullish outlook.
  • The positioning score is correlated with gold prices since 2014, suggesting that speculative activity plays a key role in gold dynamics.

Key Information

• Positioning Score Calculation:
  The BNP Paribas positioning score is a normalised measure of speculative allocations and stock levels on LME, Comex, and Shanghai Futures Exchange.

• Inventory Analysis:

  • Stock dynamics are measured using a 1-year rolling z-score of weekly releases.
  • Consolidated stocks are supportive for prices, though nickel and zinc are at low levels, indicating tight supply.
  • Copper and nickel have seen reductions in LME stocks, while aluminum is more stable.

• Supply and Demand Trends:

  • Chinese imports have had a positive impact on copper and zinc supply-demand balance.
  • Zinc refined imports from China have increased by 100% compared to the previous month, showing strong demand.
  • Copper refined imports have increased by 54% in November, suggesting strong demand in China.
  • Nickel imports to China have increased by 63%, though the positioning score indicates potential for a price drop.

• Market Outlook:

  • Copper is expected to face downward pressure in the coming weeks due to speculative positioning and Chinese demand.
  • Nickel is at overbought levels, with a high probability of reversal.
  • Zinc and Aluminum are also overbought, indicating potential for correction.
  • Energy commodities (crude oil and gasoline) are bullish due to low inventory levels and high speculative positions.
  • Gold remains slightly above neutrality with a 61.5% reversal probability.

Summary of Key Metrics

Contacts

• Gabriel Gersztein - Commodity Quant Strategy, Sao Paulo, +55 11 3841 3421, gabriel.gersztein@br.bnpparibas.com
• Gustavo Mendonca - Commodity Quant Strategy, Sao Paulo, +55 11 3841 3445, gustavo.mendonca@br.bnpparibas.com
• Samuel Castro - Commodity Quant Strategy, Sao Paulo, +55 11 3841 3492, samuel.castro@br.bnpparibas.com

Legal Notice

• This document is non-independent research and may be subject to conflicts of interest due to its interaction with sales and trading teams.
• It is not investment research and is not intended to be relied upon for investment decisions.
• BNP Paribas may have financial interests in the mentioned commodities and may have acted upon the information before publication.
• The document is subject to legal restrictions and not available to non-Relevant Persons.
• BNP Paribas is authorized and regulated in various jurisdictions, including France, Germany, Belgium, and Ireland.

Annex

• The report includes Tables 8-9 detailing supply trends, production, and global imports/exports.
• These tables provide detailed statistics on copper, zinc, nickel, and iron ore for October and November 2017.

Date

• 03 January 2018