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1、Thisdocumenthasbeenproducedby:nUSDlongexposureisstableat+18(-/+50scale).BNPParibasLondonBranchMichaelSneydGlobalHeadofFXStrategy&Cross-AssetStrategistKrisGjiniGraduatenPositioningforGBPremainstheshortestintheG10.Shortshaveextendedtoascoreof-34.nEURpositioningisnowatamoderateshor
2、t(-9).nFXinvestorscontinuetoholdlargeshortNZDpositions(-33).nShortSEKpositioningisrebuilding(-18).ThemarketremainslongNOK(+13).Chart1:BNPParibasFXPositioningAnalysis–OverallPositioning*USDNOKCADJPYAUDEURCHFSEKNZDGBPSHORTLONG18134206-Aug-201802-Aug-2018-9--18-33-3415-5-50-40-30-20
3、-1001020304050Source:BNPParibasClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTrendingIndicator302913019USD718-37-16-15EUR-12-108619JPY-42-30-27-48-23GBP-23-50-19-419CHF-1-1925-2137CAD-6-4324-22AUD-43-49-5-40-27NZD35-41-20-4NOK-16-3-34-24SEK*Thepositioningscoresabovearerep
4、ortedasapercentilebasedonthepriorfiveyearsofdata.Thesepercentilesarerescaledtogiveavaluebetween-50and+50.Valuesabove40andbelow-40representextremepositions.Tointerpretascoreof-27,forexample,add50togive23.Thistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobs
5、ervation.·Clientexposure–Internalsalesdesks’estimateofFXinvestorexposure·IMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity·Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”·FXFundpo
6、sitiontracker–Regressionbaseddecompositionofcurrencyfundpositioning·BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportwww.Glo
7、balMarkets.bnpparibas.comChart2:AbsoluteTotalG10PositioningOverallabsoluteFXPositioning5yAverage27022017012070Aug-15Feb-16Aug-16Feb-17Aug-17Feb-183YearhistoricplotofG10currencypositioningscoresChart3:USDOverallPositioningChart4:GBPOverallPositioning505030301010-10-10-30-30306Augus
8、t2018FXQuantInsightwww.GlobalMark
