巴黎银行-全球-外汇策略-全球外汇定位分析-20190516-13页.pdfVIP免费

MACROQUANTSTRATEGY|G10FXPleaserefertoimportantinformationattheendofthereportFLASH|FXPOSITIONINGANALYSIS|GLOBAL16May2019MichaelSneyd,CFAAlexJekov,HeadofMacroQuantitative&DerivativesStrategy|KrisGjini,FXStrategist|,MacroQuantStrategist|BenedicteLowe,CrossAssetStrategist|BNPParibasLondonBranch™Themarketisbuildingrisk-offpositions:JPYlongsandAUDshortsextend.FXinvestorsincreaseJPYlongstoascoreof+17from+8lastweekasallcomponentsturnmorepositiveontheJPY.AUDshortsextendtoascoreof-28,theshortestpositioningscoresinceOctober2018,asaresultoftheRiskReversalcomponentincreasingAUDshorts.GBPlongsparebacktoascoreof+10,drivenbytheRiskReversalandBuySellPressurecomponentsturninglessbullish.ThemarketismoderatelylongUSDwithascoreof+14(-/+50scale).Fig.1:BNPParibasFXPositioningAnalysis–overallpositioning*Source:BNPParibas*Thepositioningscoresabovearereportedasapercentilebasedonthepriorfiveyearsofdata.Thesepercentilesarerescaledtogiveavaluebetween−50and+50.Valuesabove40andbelow−40representextremepositions.Tointerpretascoreof−27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.ClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTrendingIndicatorBuySellPressure1943-11258-2USD-5-20-5-46-32EUR21-273253637JPY282315-22-1026GBP-28-46-41226-6CHF-18-3236-8115CAD-12-42-35-21-32-27AUD-31-33-3147-23-39NZD26-2427-515NOK-41--31-4-31-36SEK-29-28-18-16-10-110141717-50-40-30-20-1001020304050SEKAUDNZDCHFEURCADGBPUSDNOKJPY16-May-201909-May-2019SHORTLONGSHORTLONGSHORTLONGSHORTLONGClientexposure–Internalsalesdesks’estimateofFXinvestorexposure.IMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity.Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”.FXFundpositiontracker–Regressionbaseddecompositionofcurrencyfundpositioning.BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentum.Buysellpressure–Anindi...