巴黎银行全球外汇策略定位分析

1、MACRO QUANT STRATEGY | G10 FXn USD longs are pared back to a score of +9 (-/+ 50 scale) from +14 last week as a result of the Risk Reversal and Client Survey components turning more negative on the USD.n GBP longs are reduced to a score of +17 as the Risk Reversal and the BNP Paribas Trending Indica

2、tor components reduce longs.n FX investors extend JPY longs to a score of +14 driven by all components turning more positive on the JPY.n AUD and NZD shorts extend to scores of -22 and -18 respectively.SHORTLONG17GBP NOK JPY USD CAD EUR NZD CHF AUD SEK161413-May-201906-May-20199-3-6-18-20-22-35-50-4

3、0-30-20-1001020304050Source: 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 below40 represent extreme positions.To interpret a score of 27, for example

4、, add 50 to give 23. This tells us that 23% of observations over the past five years have been below the current observation.Michael Sneyd, CFA, Head of Macro Quantitative & Derivatives Strategy | Alex Jekov, FX Strategist | Kris Gjini, Macro Quant Strategist | Benedicte Lowe, Cross Asset Strate

5、gist | BNP Paribas London BranchPlease refer to important information at the end of the report§ 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

6、 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.&

7、#167; 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 componentsClient ExposureIMMRisk ReversalsFX Fund Position TrackerBNPPTrending

8、 IndicatorBuy Sell Pressure1943-23114-2-5-20-17259-2521-272833228282327-291239-28-46-36411-26-18-3223183-12-43-21-23-14-17-31-33-2445-20-4226-1536-1314-41-35-20-39-39USDEURJPYGBPCHFCADAUDNZDNOKSEKFig. 1: BNP Paribas FX Positioning Analysis overall positioning*FLASH | FX POSITIONING ANALYSIS | GLOBAL

9、13 May 2019获取报告1、2、3、每周群内7+报告；当日华尔街日报、4、行研报告均为公开利归原作者所有，起点财经仅分发做内部学习。扫一扫关注 回复：加入“起点财经”群。MACRO QUANT STRATEGY | G10 FXFig. 3: USD overall positioningFig. 4: GBP overall positioningFig. 5: EUR overall positioningFig. 6: JPY overall positioningFig. 7: AUD overall positioningFig. 8: CAD overall position

10、ingAll chart sources: BNP ParibasAll chart sources: BNP Paribas2Three-year plot of G10 currency positioning scoresFig. 2: Absolute total G10 positioningMACRO QUANT STRATEGY | G10 FXFig. 9: NZD overall positioningFig. 10: CHF overall positioningFig. 11: NOK overall positioningFig. 12: SEK overall pos

11、itioningAll chart sources: BNP ParibasAll chart sources: BNP ParibasFig. 13: USD positioning componentsFig. 14: GBP positioning componentsFig. 15: EUR positioning componentsFig. 16: JPY positioning componentsAll chart sources: BNP ParibasAll chart sources: BNP Paribas3One-year plot of G10 currency p

12、ositioning individual scoresMACRO QUANT STRATEGY | G10 FXFig. 17: AUD positioning componentsFig. 18: CAD positioning componentsFig. 19: NZD positioning componentsFig. 20: CHF positioning componentsFig. 21: NOK positioning componentsFig. 22: SEK positioning componentsAll chart sources: BNP ParibasAll

13、 chart sources: BNP Paribas4MACRO QUANT STRATEGY | G10 FXSTRATEGY CONTACTSEDITORIAL AND PRODUCTIONCOVERAGELEGAL ENTITYPHONEAmanda Grantham-Hill Anna McLauchlin Elina TalvitieJessica BakkiouiVarghese JosephMarket Economics and Strategy Market Economics and Strategy Market Economics and Strategy Marke

14、t Economics and StrategyMarket Economics and StrategyBNP Paribas London Branch BNP Paribas London Branch BNP Paribas London Branch BNP Paribas London BranchBNP Paribas Securities Corp44 20 7595 168744 20 7595 375444 20 7595 258844 20 7595 84781 212 841 3698OnlineBNP Paribas Global Markets websiteBNP

15、 Paribas Strategy websiteBPFREmerging Markets ResearchBPFRFixed Income ResearchG10 Interest Rate ResearchBPBSMarket EconomicsBPEC5STRATEGISTJOB TITLELEGAL ENTITYPHONEMichael Sneyd, CFAHead of Macro Quantitative & Derivatives StrategyBNP Par bas London branch44 20 7595 1307Sam Lynton-Brown, CFA P

16、arisha SaimbiAlex JekovDaniel Katzive, CFA Vasilis KoutsaftisHead of G10 FX Strategy, Europe G10 FX and Sterling Rates Strategist FX StrategistHead of FX Strategy North America FX Options StrategistBNP Par bas London branch BNP Par bas London branch BNP Par bas London branchBNP Par bas Securities Co

17、rp (New York) BNP Par bas Securities Corp (New York)44 20 7595 846744 20 7595835144 20 7595 41851 212 841 24081 212 471 7973Altaz Dagha Dawn KwaTianhe JiAPAC IR Strategist Asia FX & IR StrategistChina StrategistBNP Par bas Singapore Branch BNP Par bas Singapore BranchBNP Par bas China Limited ()

18、65 6210 499465 6210 326386 10 6535 0836Gabriel Gersztein Samuel Castro Luca MaiaAndre DigiacomoHead of Global Emerging Markets Strategy FX & IR Latam StrategistFX & IR Latam StrategistFX & IR Latam StrategistBanco BNP Paribas Brasil S.A. (Sao Paulo) Banco BNP Paribas Brasil S.A. (Sao Pau

19、lo) Banco BNP Paribas Brasil S.A. (Sao Paulo)Banco BNP Paribas Brasil S.A. (Sao Paulo)55 11 3841 342155 11 3841 349255 11 3841 344755 11 3841 3445Kris GjiniBenedicte LoweMacro Quantitative StrategistCross Asset StrategistBNP Par bas London branchBNP Par bas London branch44 20 7595 160344 20 7595 199

20、3MACRO QUANT STRATEGY | G10 FXLegal NoticeThis 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 tos of interest resulting from their interactionwith sal

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