文档介绍:MACROQUANTSTRATEGY|G10FXUSDlongswerereducedoverthepastweek,fromascoreof+13to+6(-/+50scale),---:BNPParibasFXPositioningAnalysis–overallpositioning*JPYNOKUSDCADNZDGBPCHFEURSEKAUDSHORT LONG18964025-Feb-201918-Feb-2019-4-18-18-11-9-50 -40 -30 -20 -10 0 10 20 30 40 50ClientExposureIMMRiskReversalsFXFundPositionTrackerBNPPTrendingIndicatorBuySellPressure99-127-2-5USD-144-4-23-15-16EUR017347-142JPY36-3-30-4118-3GBP-13-24-3446-5-22CHF12-2827-383616CAD-8-21-14-25-9-29AUD-17943-1321-41NZD46-40-47-1520NOK-36--2939-41-24SEKSource:BNPParibas*-50and+--27,forexample,%–Internalsalesdesks’–mitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketsentiment”.FXFundpositiontracker––Atechnicalmeasureofthestrengthofacurrency’–Anindicatorofpricemomentumanddirectionthatutilisestickdata,,CFA,HeadofMacroQuantitative&DerivativesStrategy|AlexJekov,FXStrategist|KrisGjini,MacroQuantStrategist|BenedicteLowe,CrossAssetStrategist|BNPParibasLondonBranchPleaserefertoimportantinformationattheendofthereportTSTRATEGY|:AbsolutetotalG10positioningThree-:USDoverallpositioning ::EURoverallpositioning :JPYoverallpositioningF