20180116-法国巴黎银行-Commodity_Positioning_Weekly__warning_signals_unchanged_11页_424kb

COMMODITY QUANT STRATEGY SUMMARY

Core Content Overview

This report provides a weekly analysis of commodity positioning and market dynamics for base metals and energy, based on the BNP Paribas positioning score and other market indicators. It highlights the current state of speculative positions, inventory levels, and supply-demand trends across key commodities.

Key Insights

Base Metals Positioning Score

• The 30-week rolling correlation between base metals weekly returns and BNP Paribas positioning score is at 70%, up from 60% in December.
• The base metals positioning score remains at 6.6 (out of 10), slightly higher than 5.4 in mid-December.
• Nickel is at a positioning score of 3.0, indicating it is supportive.
• Zinc and Aluminium are overbought, with Zinc at 8.5 and Aluminium at 8.3.
• Copper has moved from neutrality to a positioning score of 6.5, slightly lower than last week but still 1.7pp above from one month ago.
• The non-parametric probability of reversal for copper is 18.7%, for nickel 83.3%, and for zinc 15.8%.

Inventory and Stock Dynamics

• Overall metal inventory levels are supportive for prices.
• Shanghai copper and nickel stocks are at low levels, with nickel stocks back to the lows of Q2 2016.
• LME copper and nickel stocks have significantly reduced.
• Zinc stocks are not at record lows, unlike other metals.
• DOE crude oil inventory is at a record low compared to the 12-month moving average, supporting resilient market prices.

Supply-Demand Trends

• Supply-demand tracker shows a strong push-up from Chinese imports.
• Consolidated stock dynamics have improved slightly, except for zinc.
• Aluminium remains the only metal where deliverable stocks in Shanghai are not at record lows.

Energy and Gold

Crude Oil

• Brent and WTI crude oil net speculative allocations are at record highs at 14.5% and 21.0%, respectively.
• The difference between DOE crude oil inventory and 12-month moving average is at its lowest since 2010, supporting market prices.

Gasoline

• Gasoline positioning is unchanged, with net speculative allocations at 21.7%.
• Low stock levels are a key factor in supporting gasoline prices.

Gold

• Gold positioning score is at 6.1, up from 5.4 in mid-December.
• The non-parametric probability of reversal is 47%, placing gold slightly above neutrality.
• There is considerable co-movement between gold positioning and market prices since 2014.

Summary of Positioning and Market Dynamics

Key Information

• Positioning Score: A combination of normalised speculative allocations and stock levels on LME, Comex, and Shanghai Futures Exchange.
• Inventory Levels: A key factor in price support, particularly for base metals and crude oil.
• Supply-Demand Tracker: Highlights strong Chinese import activity as a driver for supply-demand dynamics.
• Non-Parametric Probability: Indicates the likelihood of a price reversal based on historical positioning data.
• Rolling Correlation: Measures the relationship between positioning score and market prices, with strong positive correlation for base metals.

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