20180123-法国巴黎银行-Commodity_Positioning_Weekly__Positioning_score_continues_to_increase_13页_484kb

报告摘要

COMMODITY QUANT STRATEGY SUMMARY

Core Content Overview

This report provides a weekly analysis of commodity market positioning and price dynamics, focusing on base metals and energy sectors. It highlights the BNP Paribas positioning score as a key indicator of market sentiment and its correlation with price movements. The report also includes data on inventory levels, speculative positions, and supply-demand trends.

Main Points and Key Information

Base Metals Positioning Score

The 30-week rolling correlation between base metals weekly returns and BNP Paribas positioning score is at 66%, up from 60% in December.
The base metals positioning score has increased to 6.9 (out of 10), up from 6.4 one month ago.
Nickel is currently supportive, with a positioning score of 4.2 (up from 3.3 one month ago), and a 58.9% non-parametric probability of price reversal.
Zinc and Aluminium are overbought, with Zinc at 8.6 and Aluminium at 8.6 (up from 8.2 and 8.2 respectively one month ago), indicating high probability of reversal.
Copper has a positioning score of 6.3, up from 6.5 one week ago, and is broadly flat but no longer neutral.

Market Price Correlation

The positioning score and market prices have shown consistent co-movement since 2015 for copper.
Low inventory levels (measured as 1-year rolling z-score) have been a supporting factor for resilient market prices.
Overall metal inventory levels are supportive for prices, with nickel and zinc stocks at minimum levels.
Supply-demand tracker shows a strong push-up from Chinese imports, indicating increased demand.

Energy and Gold

Brent and WTI crude oil net speculative allocations are at record high levels (13.6% and 21.6% respectively).
The difference between DOE crude oil inventory and the 12-month moving average is at a record low, suggesting market resilience.
Gasoline positioning remains unchanged, with speculative allocations at 20.2%.
Gold positioning score is at 6.3, up from mid-December levels, with a 49.8% non-parametric probability of reversal, placing it slightly above neutrality.

Key Trends and Outlook

Nickel has shown divergence between its positioning score and price, suggesting possible structural break or downward price adjustment.
Copper is expected to move downwards in the coming weeks, assuming no structural break from China.
Aluminium remains overbought, but deliverable stocks in Shanghai are not at lows, differentiating it from other metals.
Zinc is at overextended levels, with no signs of improvement.
Chinese import/export trends are significant in influencing base metal supply and demand.

Charts and Tables Mentioned

Charts 1-2 and Table 1: Positioning scores and BNP base metals dynamic roll index.
Charts 3-4 and Table 2: Speculative positions and BNP base metals dynamic roll index.
Charts 5-6 and Table 3: Stocks and BNP base metals dynamic roll index.
Charts 7-8 and Table 4: Copper (3m LME) positioning and price trends.
Charts 9-10 and Table 5: Nickel (3m LME) positioning and price trends.
Charts 11-12 and Table 6: Aluminium (3m LME) positioning and price trends.
Charts 13-14 and Table 7: Zinc (3m LME) positioning and price trends.
Charts 21-26: Brent and WTI crude oil positioning and inventory levels.
Charts 27-29: Gasoline RBOB positioning and inventory levels.
Charts 30-32: Gold positioning and ETF holdings.
Table 8: Supply and production trends for various commodities.
Table 9: Import and export data for various commodities.

Contacts

Robert McAdie: Global Markets Head of Strategy, London, +44 20 7595 1307, robert.mcadie@uk.bnpparibas.com
Gabriel Gersztein: Commodity Quant Strategy, São Paulo, +55 11 3841 3421, gabriel.gersztein@br.bnpparibas.com
Samuel Castro: Commodity Quant Strategy, São Paulo, +55 11 3841 3492, samuel.castro@br.bnpparibas.com
Gustavo Mendonca: Commodity Quant Strategy, São Paulo, +55 11 3841 3445, gustavo.mendonca@br.bnpparibas.com

Legal Notice

This document is non-independent research and is a marketing communication.
It is not investment research for the purposes of MiFID II.
It does not constitute an offer to sell or solicitation of an offer to buy any financial instrument.
The information and opinions are based on public sources and not independently verified.
BNP Paribas may have financial interests in the mentioned issuers and may engage in transactions that are inconsistent with the views expressed in this document.
Simulated performance data is included and not indicative of actual results.
No liability is accepted for any use of the information or for any losses that may arise from it.