Thursday January 5, 2006 - 15:49:32 GMT
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Forex: Global-View.com Monthly Forex Survey Analysis by Cumino
EUR USD 3 months: 1st day close 1.2021(1.1795), av. responses 1.2082(1.1764), Adjusted boundaries 1.16-1.24(1.14-1.22).
GVI 53% (49%) COMPONENTS 9%, 75%, 16% (30%, 42%, 28%). DRY INDEX: 58%, (49%)
6m stdev: 9% (8%)
Bullish at a first glance in absolute and relative terms. Also the Dry Index (the blue line in the graphs) is bullish. Anyway looking better at the components we see that strong EUR bears retreated from 30% to 9% (a cynic could suspect some squeezed positions there, judging by a comparison to previous reading), but also strong EUR bulls retreated from 28% to 16%. The result is bullish on the whole, but overall it’s worth noting that 75%, the number of neutrals, is by far the highest number ever seen. Std dev. surprisingly slightly increased. The common feeling seemingly is for a range in this currency pair, if this should persist, it could easily bode ample future moves. Also some considerations about implied and actual vols seem admit that possibility.
USD JPY 3 months: 1st day close 116.09 (120.78), av. responses 115.81 (120.14), Adjusted boundaries 112-120 (117-125).
GVI: 52% (45%) COMPONENTS: 12%, 72%, 16% (25%, 60%, 15%) DRY INDEX: 41% (55%)
6m stdev: 11% (9%)
USD bullish in absolute (the highest GVI number ever seen) and relative terms. It is bearish in regard to Dry Index. Some caution is warranted for the GVI INDEX, thanks to the large boundary change due to the change in spot during the last month. The discordance between GVI and DRY is thus justified and paints a clear picture. (BTW in this regard my previous comment: “Dry index is at 55% one of the highest USD Dry bullish readings, suggests that a brief term correction (lower) is possible”).
Neutrals at 72% a relatively high but not extreme number for USD JPY GVI Index. Std dev. at 11% is the highest ever seen, about double of the long term average. The Vol. slope (12m-3m implied) is negative, though slightly, since half December, and for the first time after 11 months. The relative adjusted R2 diminished, though less than the EUR USD one, tumbled 9 points.
OIL 3 months: 1st day close 63.14 (59.94), av. responses 60.29 (59.69), Adjusted boundaries 56-70 (53-67)
GVI: 44% (49%) COMPONENTS: 15%, 81%, 4% (13%, 77%, 10%) DRY INDEX: 33% (59%)
6m stdev: 2% (9%)
Bearish in absolute terms in relative terms and as for Dry Index. This GVI Index coupled with 81% neutrals and with a std. dev. tumbling to 2% is perhaps the first sign of a mixture already seen during half January to half February 2005. Oil rallied 12 big figures in a row, at that time...
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