20181008-法国巴黎银行-FX_POSITIONING_ANALYSIS_GLOBAL_12页_1021kb
报告摘要
FX Positioning Analysis Summary | G10 Currencies
Overview
This document provides a detailed analysis of the positioning of G10 currencies as of 8 October 2018, based on various indicators and data sources. The positioning scores are calculated using a percentile-based scale, ranging from -50 to +50, derived from the prior five years of data. Extreme positions are indicated by scores above +40 or below -40.
Key Positioning Changes
- USD: Long positioning increased to a score of +22, reflecting a rise in the BNPP Trending Indicator component's long positions.
- NOK: Long positions were reduced to +16 from +31 last week, driven by FX funds building large NOK short positions.
- GBP: Shorts were reduced to -7 from -18 last week.
- AUD & NZD: Investors increased short positions to -33 and -40 respectively, indicating a stronger bearish sentiment towards these currencies.
Positioning Components
The overall positioning scores are calculated as an equally weighted average of the following components:
- Client Exposure: Internal sales desks' estimate of FX investor exposure.
- IMM (Commitment of Traders): A proxy for US-based hedge-fund/CTA activity.
- Risk Reversals: Reflect the relative price of calls vs. puts, incorporating market sentiment.
- FX Fund Position Tracker: A regression-based decomposition of currency fund positioning.
- BNPP Trending Indicator: A technical measure of currency momentum.
Currency Positioning Summary
| Currency | Score | Component Notes |
|---|---|---|
| USD | +22 | Increased due to BNPP Trending Indicator |
| EUR | -3 | Mixed positioning |
| JPY | -45 | Strong short position |
| GBP | -7 | Reduced short position |
| CHF | -1 | Slight short position |
| CAD | -15 | Slight short position |
| NOK | +16 | Reduced long position |
| SEK | -21 | Slight short position |
| AUD | -33 | Increased short position |
| NZD | -40 | Strong short position |
Charts
- Chart 1: Overall positioning of G10 currencies, based on a percentile scale.
- Chart 2: Absolute total G10 positioning.
- Chart 3: USD positioning components.
- Chart 4: GBP positioning components.
- Chart 5: EUR positioning components.
- Chart 6: JPY positioning components.
- Chart 7: AUD positioning components.
- Chart 8: CAD positioning components.
- Chart 9: CHF positioning components.
- Chart 10: NOK positioning components.
- Chart 11: SEK positioning components.
- Chart 12: NZD positioning components.
Strategy Contacts
| Strategist | Job Title | Legal Entity | Phone Number |
|---|---|---|---|
| Michael Sneyd, CFA | Head of Macro Quantitative & Derivatives Strategy | BNP Paribas London branch | 44 20 7595 1307 |
| Sam Lynton-Brown | FX Strategist | BNP Paribas London branch | 44 20 7595 8467 |
| Alex Jekov | FX Strategist | BNP Paribas London branch | 44 20 7595 4185 |
| Daniel Katzive, CFA | Head of FX Strategy North America | BNP Paribas Securities Corp (New York) | 1 212 841 2408 |
| Vasilis Koutsaftis | FX Options Strategist | BNP Paribas Securities Corp (New York) | 1 212 471 7973 |
| Wike Groenenberg | Head of Emerging Markets Research, CEEMEA & APAC | BNP Paribas London branch | 44 20 7595 8746 |
| Erkin Isik, CFA | FX & IR CEEMEA Strategist | Turk Ekonomi Bank A.S. (Istanbul) | 90 216 635 2987 |
| Altaz Dagha | APAC IR Strategist | BNP Paribas Singapore Branch | 65 6210 4994 |
| Dawn Kwa | Asia FX & IR Strategist | BNP Paribas Singapore Branch | 65 6210 3263 |
| Tianhe Ji | China Strategist | BNP Paribas China Limited (Beijing) | 86 10 6535 0836 |
| Gabriel Gersztein | Head of Global Emerging Markets Strategy | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3421 |
| Samuel Castro | FX & IR Latam Strategist | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3492 |
| Luca Maia | FX & IR Latam Strategist | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3447 |
| Andre Digiacomo | FX & IR Latam Strategist | Banco BNP Paribas Brasil S.A. (Sao Paulo) | 55 11 3841 3445 |
| Kris Gjini | Cross Asset Strategist | BNP Paribas London branch | 44 20 7595 1603 |
| Benedicte Lowe | Cross Asset Strategist | BNP Paribas London branch | 44 20 7595 1993 |
Disclaimer
This document is a marketing communication and is not investment research. It is not intended to be relied upon for investment decisions and does not constitute an offer to sell or purchase any financial instrument. BNPP may have conflicts of interest due to its interaction with sales and trading, and the information may not be independently verified. It is provided for informational purposes only and may not be suitable for all investors. The information is subject to change and is not guaranteed to be accurate or complete. No liability is accepted for any loss arising from reliance on this document.
Additional Information
- BNP Paribas Global Markets Website: www.globalmarkets.bnpparibas.com
- Bloomberg: BNP Paribas research RES / BNP
- BNP Paribas Strategy Website: Not specified
- Important Disclosures:
- Options and ETFs discussed are complex and may involve high risk.
- Certain securities may not be registered and are considered "restricted securities".
- This document is not a prospectus or public offering and is only for professional clients.
- Information is confidential and must not be distributed without prior consent.
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