巴黎银行-全球-投资策略-石油产品超卖，贱金属富裕-0607-8页.pdf
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07/06/2019 1
Michael Sneyd, Head of Macro Quantitative & Derivatives Strategy | BNP Paribas London Branch
FLASH | GLOBAL
7 June 2019
ComFA™: Oil products oversold, base metals slightly rich
KEY MESSAGES
Oil crude and products appear oversold versus their
ComFA™ fair values. After an initial decline, the fair
values have started to recover in recent days along with
global equities.
WTI, Brent and gasoil appear undervalued by around 9%,
while gasoline appears undervalued by 6%. ComFA™ is
sending a strong signal that these commodities are likely
to rise over the next two to four weeks.
The situation appears very different in base metals – the
fair values have fallen sharply over the past week, so that
all base metals included in our model now appear to be
slightly rich.
Zinc and Nickel appear to be the most overvalued, by
3%, but this is not a large enough deviation from fair
values to trigger a signal from ComFA™.
In this week’s Markets Call we initiated a trade to fade the
rise of oil vol verses SPX vol. See here for further details.
Crude oil and the oil distillates have been appearing
significantly undervalued according to ComFA™ since the
end of last week. More recently, however, the fair values
have started to rise for crude, now at USD58.74/bbl for WTI
and USD68.24/bbl for Brent. This rise has been due to the
recovery of global equities, which are currently identified by
ComFA™ as important for oil. ComFA™ indicates that WTI
and Brent have room to rise by around 9% if the recovery in
risk appetite persists.
As the fair values for crude have increased, the fair value for
gasoline has declined (currently at USc183.19/gal). Gasoline
appears undervalued, but less so than previously. According
to ComFA™, the recent rise in gasoline inventories is a
headwind for the price, but market sentiment ‒ captured in
global equities ‒ is a more important driving variable.
Base metals, meanwhile, appear slightly overvalued,
according to ComFA™, as the fair values have been falling.
Negative data surprises and lower bond yields in the US and
China are weighing on base metal prices. Interestingly,
correlations suggest that lower yields are negative for metal
prices as this variable captures expectations of weaker
growth, rather than an improvement in financial conditions.
Please refer to important information and
MAR disclosures at the end of this report
COMMODITIES | MACRO QUANT & DERIVATIVES
Source: BNP Paribas
1
ComFA™ is a global trademark of BNP Paribas. Please see Deep Dive: Introducing BNP Paribas ComFA™ for details of the approach.
W
TI oil Brent oil Gasoil Gasoline Natural Gas Aluminium Zinc Copper Nickel
ComFA™ fair-value 58.74 68.24 609.62 183.19 2.34 1754.07 2429.02 5756.41 11326.77
Deviation (%) -9.6% -8.8% -9.1% -5.9% 0.3% 1.3% 3.0% 0.9% 3.0%
Z-score -3.9 -3.8 -3.5 -2.4 0.0 0.8 1.3 0.6 0.9
-
5.0
-4.0
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
WTI oil Brent oil Gasoil Gasoline Natural Gas Aluminium Zinc Copper Nickel
2
3-May-19
0
7-Jun-19
Z-s
core Deviation from ComFA
O
vervalued
Undervalued
Fig. 1: BNP Paribas ComFA™
(1)
– Overview
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