Thursday June 2, 2005 - 15:19:40 GMT
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Forex: GVI Professsional Dealer Survey Results and Analysis
In the latest bi-weekly sentiment survey of professional forex dealers by global-view.com, the leading forex discussion site, sentiment for the dollar improved against the euro. The three month ahead forecast for EURUSD was a mean 1.2112 from 1.2631 two weeks earlier. The EURUSD spot price at the mid-point (May 31 close) of when the survey was being conducted was 1.2305.
The GVI-Cumino dollar bull index (0-100 50=neutral) turned bearish the EURUSD after the recent changes in the spot rate at 32 from 53 previously. The GVI-Cumino index uses a theoretical neutral option strategy to measure the intensity and direction of individual trader sentiment from price levels at the time when forecasts were made.
The USDJPY mean dollar forecast improved to 107.86 from 106.87 two weeks earlier. The USDJPY spot rate at the mid-point of when the survey was being conducted was 108.45. The GVI-Cumino dollar bull index became less neutral the dollar from two weeks earlier. It was 40 after 47.
Traders expect the price of crude oil to fall to a mean $50.94 in three months from the current spot vs. the previous $46.85 estimate.
In a special tracking question, participants were asked again where they expect the ECB refi rate (currently 2.0%) will close 2005. This question was also asked on February 9 and May 4. The results for the three polls starting with February 9 were as follows:
Above 2.0%: 53%, 31%, 20%
Unch (2.0%): 32%, 49%, 44%
Below 2.0%: 15%, 20%, 34%
For complete survey results see:
CLICK TO VIEW
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: (First day close 1.2305, av. responses 1.2112, Adjusted boundaries 1.19-1.27).
GVI:32% (53%) [3mSMA44%]. COMPONENTS: 53% 29% 18% (22% 50% 28%) [3mSMA33%45%22%]. Very bearish in absolute and relative terms. Among components the bearish camp increased 31%. Neutrals diminished @20%, bullish diminished @10%. Anyway being the 3m moving average of bullish 22% (26% is the average of the whole period, while minimum was 13%). The reading is not yet extreme from that point of view. Anyhow the large portion that sees EUR under the prevailing range of last year suggests some caution.
Neutrals are low, which suggests a perceived change in future volatility.
In the meantime, updated data about margin specs positions (i.e. hedge funds, CTA clients of a number of banks/brokers) show that they aren’t now as short as are those in the last COT report where the net shorts (non commercials + non reportable) already exceeded the 2STDDEV boundary under the 52 week moving average.
IMO margin data and option market coupled with tech. studies tends to suggest that at least since half May were also active long termers (CBs etc….).
Finally last exporters/importers surveys showed a still relative high EUR sentiment, albeit diminishing, but those were issued before the “French referendum” and the subsequent sell-off.
Regard to the option market since last survey RR 1m moved from –0.3 to –0.4, a level seen more than one year ago. Implied went higher and the implied-actual spread, which was near zero during last survey, surged to @1.06.
USD JPY 3 months: (First day close 108.45, avg. responses 107.86. Adjusted boundaries 104.-112)
GVI:47%(38%) [3mSMA42%]. COMPONENTS:13% 80% 7%(36% 54% 10%) [3mSMA25% 67% 8%]. USD neutral in absolute terms. Among components @23% passed from bearish USD to neutral, reversing the previous move. The 80% neutrals is the highest reading ever seen. Judging by the numbers the CNY rumors cost some people money.
Comparing positions, while COT data show JPY net specs positions very short, the margin specs reading is more similar to the GVI Survey, and personally I would stay on that view.
Since last Survey RR 1m moved from –0.75 (USD calls over puts) to –0.55. Volatilities in the meantime slightly diminished. (FWIW there is a decent correlation between 12m USD JPY implied and UST10y yields).
OIL 3 months: (1st day close 51.97, av. responses 50.94, Adjusted boundaries 45-59)
46%(38%) [3mSMA44%] COMPONENTS:14%81%5%(32%59%9%) [3mSMA22%69%9%]. Slightly bearish in absolute terms. Among components 18% bearish and 4% bullish passed to the neutral camp. The result could also be read in the sense that oil is not perceived as an actual theme.
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