Thursday May 19, 2005 - 14:49:33 GMT
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GVI FOREX SURVEY ANALYSIS
Analysis courtesy Cumino:
GVI Forex Sentiment survey analysis:
The first number is the Bull Index (two weeks ago in brackets). The 3 following numbers are the components, in this order: strong bears, neutral, strong bulls (previous).
EUR USD 3 months: (1st day close 1.2605, average responses 1.2631, Adjusted boundaries 1.30-1.22)
53% (48%) [3mSMA46%] 22% 50% 28% (28% 49% 23%) [3mSMA 29% 49% 22%]. Bullish in absolute terms with 7% above the 3month average. Among components the bullish camp (those who forecast 3 months prices above a rounded term break-even, now 1.30) increased 5%, from 23% to 28%. Notably some medium term surveys among importers and exporters show roughly the same pattern.
In the meantime data about margin specs positions show that they became extremely short EUR until 11/12 May and then they mostly covered shorts resulting now in modestly short. Since EUR didn’t move higher, nor medium term participants seemed changing behaviours, logic suggests that long term guys could have been active in the last days.
Since last survey RR 1m moved roughly from 0 to –0.3 (a bit better now). Notably the 6mRR went to @0 (the third time in all the EUR trend) While in a first period the spread enlarged, during 12/13 May the 6m lost as well as the 1m, that being perhaps another sign of the above note. GARCH 1m compared to implied is forming a pattern similar to mid 2003.
USD JPY 3 months: (1st day close 107.51, average responses 106.67, Adjusted boundaries 104.-112)
38% (50%) [3mSMA41%]. 36% 54% 10% (14% 73% 13%) [3mSMA 25% 66% 9%]. USD bearish. Among components 20% moved from neutral to USD bearish (i.e. those seeing prices under 104). While you shouldn’t read too much into this change, being spot +2.5% since last survey, and overall being USD JPY sensitive to a perceived “true range” the pattern of margin positions (squared but long JPY in relative terms), as well as this survey story show that the biggest surprise in fx market is a USD JPY rally. Notably every time the USD gained USD-JPY Cumino-GVI index tumbled. Never during that diminishing sentiment USD lost, and vice-versa. Anyway during the CNY story, where timing (and effects) are far from to be clear, some prudence is due.
OIL 3 months: (1st day close 48.97, average responses 46.85, Adjusted boundaries 42-56)
38%(48%). 32%59%9%(13%78%9%). Bearish. Among components 20% moved from the neutral to the bearish camp. (Note that those are answers forecasting prices under 42 at 18 August).
Note that previous Survey was made with oil roughly at the same price and before NFP and other US economic data showing a better picture of US economy.
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