Thursday June 30, 2005 - 14:43:53 GMT
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Cumino Analysis: GVI Biweekly Forex Survey
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 1.2073, av. responses 1.1997, Adjusted boundaries 1.17-1.25).
GVI 43%(53%) [3mSMA 45%]. COMPONENTS 31%52%17%(19%58%23%)
Sentiment turned bearish. It’s worth noting that near term sentiment, that never I commented on previously (obtained by restricting boundaries) was bearish too in the previous polls (now is 26% from 31% with 65% EUR bears 18% neutrals and 17% bulls).
Since last Survey, 1m vol. is roughly unchanged but actual vol. went higher with actually a positive spread @0,50%. GARCH is a bit higher than implied. RR1m is at 0.55%.
COT showed specs stretched, (even excluding some errors in the reports). Margin readings show less dramatic positions.
USD JPY 3 months:
(1st day close 109.88, av. responses 109.23, Adjusted boundaries 106-114)
GVI: 41%(46%) [3mSMA 43%]. COMPONENTS:23%73%4%(16%76%8%) [3mSMA22%70%8%].
Bearish USD. The near term sentiment also went from 61% to 46%. The near term sentiment had two big jumps higher in the previous Surveys.
Vol. was roughly unchanged. Actual is slightly higher than implied. RR1m changed from -0.40% to –0.25% (as for 28 June). –0.15% was the February peak, a number to watch, IMHO. The 12 month vol. (DN mid) reached a 8% low. Should it go lower we have to go back 40 or 50 years to find a similar number. Finally USD JPY and CNY NDF 12m correlation went poor since May, oil theme being the king, perhaps.
COT reports were wrong as I hinted, but anyway showed a very short position in JPY. As I said the other times this reading is not consistent with margin positions, although those JPY positions now are shorter than 2 weeks ago.
OIL 3 months:
(1st day close 58.20, av. responses 62.46, Adjusted boundaries 51-65)
68%(45%) [3mSMA 48%] COMPONENTS: 5%54%41%(20%71%9%) [3mSMA17%69%14%].
Astonishing. BTW the near term measure went from 48% to 75%.
My reading is that one seriously should consider to begin sooner rather than later to consider a medium term bear strategy on oil, at least judging on this Survey results, because this sentiment is typical of a peak.
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