Wednesday April 5, 2006 - 13:49:04 GMT
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FOREX - - GVI Monthly Survey Analysis by Cumino
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 1.2140 (1.2018), av. responses 1.2286 (1.1905), Adjusted boundaries 1.17-1.25 (1.16-1.24).
GVI 67% (48%) COMPONENTS 5% 57% 38% (16% 72% 12%).
DRY INDEX: 69%(28%)
6mstdev: 9% (7%)
EUR very bullish (the highest ever seen) in absolute terms as well in relative. Also Dry Index is very high. Note that the strong-bearish EUR component (i.e. those exceeding boundaries) steadily diminished during last 6 months and is now at 5%, the lowest level ever seen. So the sentiment is polarized more there than the genuine bullish camp. Are USD structural fears surfacing after cyclical hopes?
Considering that the EUR significant move was at 4 April and that more than half the survey responses came on 3 April, well before the 1.2208 break, the reading seems particularly strong.
With last IMM speculative long positions at 28 March already the highest of 2006 (and 2005), and standing the present high correlation with RR1m (at that time 0.25mid now about 0.35mid) with an ATM vol at 7.75 at that time and now higher but still relatively low in historical terms, speculative positions should be now a bit stretched.
The question now turns to the behavior of long-term investors. Look more at other markets for indirect evidence of how they are acting.
USD JPY 3 months: 1st day close 117.66 (117.52), av. responses 116.38 (117.65), Adjusted boundaries 114-122 (114-122).
GVI: 44% (44%) COMPONENTS: 13% 85% 2%(17% 79% 4%)
DRY INDEX: 32%(62%)
USD BULL index roughly unchanged, but DRY index unsurprisingly bearish USD.
Neutral components at 85% (the highest ever seen) and well above LT average (61%).
At a first glance, and considering volatilities, it seems to me that spot is at an equilibrium that must be broken sooner than later. Note that the EUR strong-bulls - JPY strong bulls (i.e. USD strong bears) spread is the highest ever seen.
OIL 3 months: 1st day close 66.74 (62.41), av. responses 68.13(62.30), Adjusted boundaries 60-74(55-69)
GVI: 50% (49%) COMPONENTS: 10% 80% 10%(7% 87% 5%)
DRY INDEX: 65% (32%)
Roughly unchanged. Dry Index is bullish. Neutrals slightly diminished.
The Index is more bullish than it seems. Note that boundaries are 5cents higher compared to previous month. When boundaries changed in the past due to higher spots, the reading became always extremely bearish, which paints more the sense of importance of oil in the minds than a forecast. Now it seems different, forecasts now are simply adjusting a regular neutral view at the current spot. A risk less perceived is undoubtedly a risk, IMHO.
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