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FX Positioning Analysis Summary - 30 July 2018

Core Content Overview

This document provides a detailed FX positioning analysis from BNP Paribas London Branch, focusing on the current market sentiment and positions for major G10 currencies ahead of the Bank of Japan meeting on Tuesday. The analysis is based on a percentile scale derived from five years of historical data, with scores ranging from -50 to +50. Extreme positions are indicated when scores are above 40 or below -40.

Key Market Positions

• JPY: The market remains neutrally positioned with a score of 0. This suggests no strong bias towards buying or selling the Japanese Yen.
• GBP: Large short positions are held, with a score of -31, which is the largest short position in a year. Fast money (speculative traders) are particularly short on the British Pound.
• USD: Long USD positions continue to be held, with a score of +19, indicating a positive sentiment towards the US Dollar.
• NZD & AUD: The market remains short on both, with scores of -29 and -13 respectively.
• CAD: The short position has been reduced to -5 over the week.
• CHF: The market is short with a score of -20.
• NOK & SEK: The positioning scores are -10 and -8, respectively, indicating moderate short positions.

Positioning Metrics

Interpretation of Positioning Scores

• A score of -27 is interpreted as 23%, meaning 23% of historical observations were below this level.
• The overall positioning score for each currency is calculated as an equally weighted average of the components.

Charts and Visuals

• Chart 1: Overall FX Positioning Analysis
• Chart 2: Absolute Total G10 Positioning
• Chart 3: USD Overall Positioning
• Chart 4: GBP Overall Positioning
• Chart 5: EUR Overall Positioning
• Chart 6: JPY Overall Positioning
• Chart 7: AUD Overall Positioning
• Chart 8: CAD Overall Positioning
• Chart 9: NZD Overall Positioning
• Chart 10: CHF Overall Positioning
• Chart 11: NOK Overall Positioning
• Chart 12: SEK Overall Positioning
• Chart 13: 3-Year Historic Plot of G10 Positioning Scores
• Chart 14: 1-Year Historic Plot of G10 Positioning Individual Scores

FX Strategy Contacts

Legal and Regulatory Information

• This document is non-independent research and is a marketing communication under MiFID II.
• It is not intended as investment research and does not provide financial, legal, or tax advice.
• It may contain performance data based on back-testing, which is for illustrative purposes only.
• The document is intended for Professional Clients and Eligible Counterparties as defined under MiFID II.
• The information is not a prospectus or public offering and may not be suitable for all investors.
• It is provided on a strictly confidential basis and may not be distributed without prior written consent.
• BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed.

Additional Information

• The document may contain references to ETFs, options, and other complex financial instruments.
• It is subject to change and may be discontinued at any time.
• BNPP and its affiliates may act as market makers, advisors, or underwriters in relation to the discussed instruments.
• For U.S. investors, this document is a general solicitation of derivatives business and may only be distributed to institutional investors.
• For UK investors, the document is communicated by BNPP London Branch, which is authorized and regulated by the ECB, ACPR, and FCA.