全球-外汇市场-全球外汇定位分析.docxVIP

This document has been produced by: BNP Paribas London Branch Michael Sneyd Global Head of FX Strategy Cross-Asset Strategist Alexander Jekov Graduate FX investors continue to hold long USD positions with a score of +23 (-/+ 50 scale) as all components show positive scores. Sentiment towards EUR deteriorated as EUR positioning shifted from a score of +3 last week to -6 this week. This was driven largely by FX Funds adding to their short positions. NOK longs were reduced to a score of +19 as a result of the Risk Reversal component paring back longs. JPY positioning currently appears neutral as FX funds pared back their long positions from +47 last week to +5 this week. Chart 1 : BNP Paribas FX Positioning Analysis – Overall Positioning* Chart 1 : BNP Paribas FX Positioning Analysis – Overall Positioning* USD NOK JPY EUR AUD CAD CHF SEK GBP NZD SHORT LONG 2319 23 19 0 -6 -9 23-Jul-2018 16-Jul-2018 -16 - -27 -30 21 -12 -50 -40 -30 -20 -10 0 10 20 30 40 50 Source: BNP Paribas Client ExposureIMM Client Exposure IMM Risk Reversals FX Fund Position Tracker BNPP Trending Indicator 35 25 28 14 15 USD -11 18 -35 -8 7 EUR -14 2 2 5 7 JPY -24 -23 -17 -50 -19 GBP -22 -50 -19 -3 13 CHF -12 -33 27 -41 1 CAD 1 -31 22 -35 -3 AUD -40 -49 2 -44 -21 NZD 46 - 30 -8 8 NOK -14 - -14 -41 -13 SEK 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 – Internal sales desks’ estimate of FX investor 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 currency’s