20180320-法国巴黎银行-Commodity_quant_positioning_weekly__Largely_unchanged_13页_494kb

Commodity Quant Strategy Weekly Summary

Core Content Overview

This report provides a weekly analysis of commodity market positioning, focusing on base metals, energy, and precious metals. It is produced by BNP Paribas Brasil S.A. and highlights the positioning scores, inventory levels, and speculative positions across various commodities. The analysis is based on data from the London Metal Exchange (LME), Comex, and Bloomberg LLP.

Main Highlights

Base Metals Positioning

• Copper:
  • Positioning score is 6.5, up 0.1pp from last week.
  • Overbought status continues, with a 20.9% non-parametric probability of reversal.
  • The score is 0.1pp above the previous week and 0.1pp above the one-month ago level.
  • Co-movement with copper prices has been consistent since Q2 2015.
  • Short-term fair value estimated at USD 6,600/MT.
• Nickel:
  • Positioning score is 0.6, 0.3pp below last week.
  • Lowest score since 2015, with LME stocks at their lowest level since 2012.
  • Chinese imports have recovered significantly on a year-on-year basis.
  • Nickel and lead continue to have the most supportive positioning scores.
• Aluminum:
  • Positioning score is 4.8, 0.4pp above last week.
  • Back to neutral status, with 28.9% non-parametric probability.
• Zinc:
  • Positioning score is 2.5, largely unchanged from last week.
  • Off overbought levels, with 37.4% non-parametric probability.
• Consolidated Base Metals:
  • Positioning score is +0.10, 0.67pp above the previous month and the highest since Q3 2016.

Energy & Gold

• Crude Oil (Brent & WTI):
  • Both remain overbought, with Brent at 12.6% and WTI at 22.2% net speculative positions.
  • Z-scores for Brent and WTI are 1.7x and 2.5x, respectively.
  • Net speculative positions total USD 66.7bn as of 13 March 2018.
  • The difference between DOE crude oil inventory and 12-month moving average remains untenably low.
• Gold:
  • Positioning score is 5.5, 0.3pp below last week.
  • Slightly above neutral levels, with 39.3% non-parametric probability of reversal.
  • Net speculative allocation is 23.8%, adjusted by open interest.
  • Comex data is used for gold positioning, with a normalised score of 6.4.

Silver

• Positioning score is 1.2, 0.2pp below last week.
• Still oversold, with a z-score of -1.9x.
• Net speculative position adjusted by open interest is 0.6%, below the 20.5% long-term average.
• Recommended long XAG/XAU strategy due to oversold positioning.

Key Observations

• Copper remains overbought, with no signs of reversal in the short term.
• Nickel and lead have the most supportive positioning scores, with nickel at its lowest level since 2015.
• Zinc and aluminum are now at neutral levels.
• Natural gas speculative positions have increased the most, with a z-score of +1.0x.
• Brent and WTI crude oil are still overbought, with WTI showing a stronger position.
• Gold is slightly above neutral, while silver is the most oversold precious metal.
• The report notes a change in data releases from LME, which now only includes Comex speculative positions for base metals.

Summary Table of Positioning Scores

Important Notes

• The data is subject to change and may not reflect the full week due to the timing of releases.
• The report is a marketing communication and not investment research under MiFID II.
• It is intended for Professional Clients and Eligible Counterparties.
• No liability is accepted for any use of the information or reliance on the content.
• The report is not to be used as a substitute for independent investment advice.