巴黎银行-全球-外汇策略-全球外汇定位分析-20190606-13页.pdf

MACRO QUANT STRATEGY|G10 FX Please refer to important information at the end of the report FLASH|FX POSITIONING ANALYSIS|GLOBAL 6 June 2019 Michael Sneyd,CFAAlex Jekov,Head of Macro Quantitative&Derivatives Strategy|Kris Gjini,FX Strategist|,Macro Quant Strategist|Benedicte Lowe ,Cross Asset Strategist|BNP Paribas London Branch Overall G10 FX Positioning declines close to the years low and to well below its five-yearaverage(Figure 2).The most crowded position in the G10 is in the JPY where the market is long with a score of+30(-50/+50).The market adds USD shorts with a score of-7 as a result of the Risk Reversal and Buy-SellPressure components extending shorts.This represents the shortest USD score since 24April 2018.FX investors unwind NOK longs from a score of+13 to 0 as all components turn less positiveon the NOK.Fig.1:BNP Paribas FX Positioning Analysis overall positioning*Source:BNP Paribas*The positioning scores above are reported as a percentile based on the prior five years of data.These percentiles are rescaled to give a value between 50 and+50.Values above 40 and below 40 represent extreme positions.To interpret a score of 27,for example,add 50 to give 23.This tells us that 23%of observations over the past five years have been below the current observation.Client Exposure IMM Risk Reversals FX Fund Position Tracker BNPP Trending Indicator Buy Sell Pressure 23 41-31-50-12-13 USD 3-18-9 50-5-25 EUR 30 3 29 40 31 45 JPY-28 1 8 48-25-31 GBP-26-42-36 44 32 46 CHF-17-25 38 28-4 27 CAD-12-46-39 46-13-14 AUD-26-38 22 50 1-17 NZD 23-15-42-19 22 NOK-36-20 44 7-14 SEK-13-7-5-4-1-1 0 3 8 30-50-40-30-20-1001020304050AUDUSDGBPSEKEURNZDNOKCHFCADJPY05-Jun-201929-May-2019SHORT LONG SHORT LONG SHORT LONG SHORT LONG Client exposure Internal sales desks estimate of FX investor exposure.IMM The commitment of traders(COT)is a widely used proxy for US-based hedge-fund/CTA activity.Risk reversals Risk reversals indicate the relative price of calls relative to puts,and thus incorporate an option“market sentiment”.FX Fund position tracker Regression based decomposition of currency fund positioning.BNPP trending indicator A technical measure of the strength of a currencys momentum.Buy sell pressure An indicator of price momentum and direction that utilises tick data,aggressor information and price movements.The overall currency score is then calculated as the equally weighted average of the componentsMACRO QUANT STRATEGY|G10 FX 2 06 June 2019 Fig.2:Absolute total G10 positioning Three-year plot of G10 currency positioning scores Fig.3:USD overall positioning Fig.4:GBP overall positioning Fig.5:EUR overall positioning Fig.6:JPY overall positioning Fig.7:AUD overall positioning Fig.8:CAD overall positioning All chart sources:BNP Paribas All chart sources:BNP Paribas MACRO QUANT STRATEGY|G10 FX 3 06 June 2019 Fig.9:NZD overall positioning Fig.10:CHF overall positioning Fig.11:NOK overall positioning Fig.12:SEK overall positioning All chart sources:BNP Paribas All chart sources:BNP Paribas One-year plot of G10 currency positioning individual scores Fig.13:USD positioning components Fig.14:GBP positioning components Fig.15:EUR positioning components Fig.16:JPY positioning components All chart sources:BNP Paribas All chart sources:BNP Paribas MACRO QUANT STRATEGY|G10 FX 4 06 June 2019 Fig.17:AUD positioning components Fig.18:CAD positioning components Fig.19:NZD positioning components Fig.20:CHF positioning components Fig.21:NOK positioning components Fig.22:SEK positioning components All chart sources:BNP Paribas All chart sources:BNP Paribas MACRO QUANT STRATEGY|G10 FX 5 06 June 2019 STRATEGY CONTACTS STRATEGIST JOB TITLE LEGAL ENTITY PHONE Michael Sneyd,CFA Head of Macro Quantitative&Derivatives Strategy BNP Paribas London branch 44 20 7595 1307 Sam Lynton-Brown,CFA Head of G10 FX Strategy,Europe BNP Paribas London branch 44 20 7595 8467 Parisha Saimbi G10 FX and Sterling Rates Strategist BNP Paribas London branch 44 20 75958351 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 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 Macro Quantitative Strategist BNP Paribas London branch 44 20 7595 1603 Benedicte Lowe Cross Asset Strategist BNP Paribas London branch 44 20 7595 1993 EDITORIAL AND PRODUCTION COVERAGE LEGAL ENTITY PHONE Amanda Grantham-Hill Market Economics and Strategy BNP Paribas London Branch 44 20 7595 1687 Anna McLauchlin Market Economics and Strategy BNP Paribas London Branch 44 20 7595 3754 Elina Talvitie Market Economics and Strategy BNP Paribas London Branch 44 20 7595 2588 Jessica Bakkioui Market Economics and Strategy BNP Paribas London Branch 44 20 7595 8478 Varghese Joseph Market Economics and Strategy BNP Paribas Securities Corp 1 212 841 3698 Online BNP Paribas Global Markets website BNP Paribas Strategy website Fixed Income Research BPFR Emerging Markets Research BPFR G10 Interest Rate Research BPBS Market Economics BPEC MACRO QUANT STRATEGY|G10 FX 6 06 June 2019 Legal Notice This document has been written by our Strategist and Economist teams within the BNP Paribas group of companies(collectively“BNPP”);it does not purport to be an exhaustive analysis,and may be subject to conflicts of interest 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