本报告通过期货持仓、期权资金流与新兴市场客户调查等多重指标评估全球套利交易（carry trade）头寸。结论是套利头寸已明显削减：墨西哥比索期货净多头被大幅平仓，净持仓迅速由接近+1倍标准差降至-0.6倍标准差、创多年低位，但主要来自多头削减而非空头建立，暗示比索的挤仓或已接近尾声；同时美元/墨西哥比索看涨期权需求旺盛，10月成交的看涨期权中约25%的行权价在19.0或以上（按ATM远期调整后约10%的行权价高于ATM远期5%以上）。美元/巴西雷亚尔看跌期权在第二轮大选前成交量激增，近一个月成交规模超过其他主要流动性货币对。此外，日元已转为多头，澳元、瑞郎相对其利差隐含水平出现偏离，美元/亚洲货币整体偏空，说明套利交易的广度不足。综合看，套利头寸集中度指标与高息/低息持仓差指标均已大幅回落。
The report assesses carry-trade positioning using futures positioning, options flows and EM client survey data, and concludes that the position has been considerably reduced. In futures, MXN net length has been slashed, swinging net positioning from near +1-sigma to -0.6-sigma and multi-year lows, but the move reflects a reduction in longs rather than an aggressive build-up of shorts, suggesting the positioning squeeze in MXN may be nearing its late stages. USD/MXN call demand has been intense, with 25% of October calls struck at 19.0 or above (about 10% at 5% or more above ATMF). USD/BRL put volumes have surged ahead of the second election round and eclipsed other major liquid crosses over the past month. JPY now screens long, AUD and CHF screen dislocated versus what carry rates alone imply, and USD/Asia remains short, all evidence that the carry trade lacks breadth. Carry positioning concentration proxies and the top-2/bottom-2 carry positioning index have collapsed accordingly.