20171206-法国巴黎银行-Commodity_Positioning_Weekly__expect_further_correction_12页_427kb

COMMODITY QUANT STRATEGY SUMMARY

Core Content Overview

This report provides a weekly analysis of commodity positioning, focusing on base metals, energy, and gold. It is produced by BNP Paribas Brasil S.A. and outlines the current market dynamics, positioning scores, and potential price movements based on speculative positions and stock levels.

Base Metals Positioning

• Overall Positioning Score: The base metals positioning score is at 6.5 (out of 10), down from 7.6 forty days ago. This indicates a slight reduction in speculative positions, but still shows a high probability of market correction.
• Non-Parametric Probability of Reversal: At 21.9% (or 78% probability of reversal), which is less than the previous week's 15.4%.
• Metal-Specific Analysis:
  • Copper: Positioning score at 5.5, down from 5.8 last week. The non-parametric probability of reversal is 34.6%, indicating a moderate risk of price correction. Copper stocks have declined, and the positioning score reflects a reduced probability of reversal.
  • Nickel: Positioning score at 4.6, down from 5.0 last week. The non-parametric probability of reversal is 45.3%, suggesting a moderate probability of price correction. Nickel's positioning is now neutral, and the recent market correction aligns with this score.
  • Aluminum: Positioning score at 7.6, down from 8.1 last week. The non-parametric probability of reversal is 6.1%, indicating it is in the overbought range. Deliverable stocks in Shanghai are not at record lows, differentiating it from other metals.
  • Zinc: Positioning score at 8.4, down slightly from 8.5 last week. The non-parametric probability of reversal is 17.5%, placing it in overbought levels. Zinc stocks remain low, and the positioning score suggests a high probability of correction.
• Stock Dynamics: Measured as a 1-year rolling z-score. Copper and nickel stocks remain low, while aluminum is the only metal with stable, positive stocks in Shanghai. Zinc has the lowest stock levels, contributing to the overbought status.
• Market Correction: Recent market corrections align with the positioning scores, suggesting that the current levels may be overbought or stretched.

Energy and Gold Positioning

• Crude Oil (WTI and Brent): Speculative positions are at record highs, with Brent at 14.8% and WTI at 20.3%. The difference between crude oil total inventory and the 12-month moving average is the smallest since 2011, supporting market prices.
• Gasoline (RBOB): Net speculative allocations are at 19.8%, indicating neutrality. However, low stock levels (measured as the spread over the 12-month moving average) support market prices.
• Gold: Positioning score is at 9.7%, indicating overbought conditions. The score is based on net speculative allocation adjusted by open interest and normalized to a 0-10 scale. There has been considerable co-movement between gold positioning and prices since 2014.

Key Information

• Positioning Score Calculation: The score combines net speculative positions and stock levels on LME, Comex, and Shanghai Futures Exchange, normalized on a 0-10 scale.
• Non-Parametric Probability: Reflects the likelihood of a price reversal based on historical data. Lower probabilities indicate higher overbought conditions.
• Stock Levels: Important for assessing market dynamics and potential price movements. Low stock levels historically support price increases.
• Supply and Production Trends: Highlighted in the annex, showing recent changes in global and Chinese supply, production, and import/export data for various commodities.

Contacts

• Gabriel Gersztein: Head of GM Latam Strategy, +55 11 3841 3421, gabriel.gersztein@br.bnpparibas.com
• Gustavo Mendonca: FX & IR Latam Strategy, +55 11 3841 3445, gustavo.mendonca@br.bnpparibas.com
• Samuel Castro: FX & IR Latam Strategy, +55 11 3841 3492, samuel.castro@br.bnpparibas.com

Legal Disclaimer

• This document is a marketing communication and not investment research.
• It is intended for Professional Clients and Eligible Counterparties as defined by MiFID and other relevant regulations.
• BNP Paribas may have conflicts of interest due to its involvement in trading and investment banking services.
• The information is based on public sources and may not be independently verified.
• Simulated performance data is included and not indicative of future results.
• No guarantee of accuracy or completeness is made, and the information should not be relied upon for investment decisions.

Summary

The report highlights the current positioning and stock levels for base metals and energy, with a focus on copper, nickel, aluminum, and zinc. It suggests that while overall speculative positions are adjusting, some metals like copper and zinc are still in overbought conditions. The positioning scores and non-parametric probabilities indicate a moderate to high probability of market correction. Gold is also noted as being in an overbought range. The document serves as a market analysis tool and includes important legal disclaimers regarding its use and limitations.