Wednesday October 4, 2006 - 12:29:49 GMT
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GVI Monthly Forex Poll Analyis Courtesy Cumino
EUR USD 3 months:
1st day close 1.2738(1.2818), av. responses 1.2809(1.2735), Adjusted boundaries 1.23-1.31(1.24-1.32).
GVI (58%)45% COMPONENTS 12%60%28%(20%70%10%). DRY INDEX: 63%(42%).
EUR GVI INDEX Bullish in relative and absolute terms. Neutrals diminished. Dry bullish. Dry correlations are high and stable in the last months and GVI correlations are rising. This is indicative more of a dollar than a EUR or JPY view, a sort of conundrum with the below USD JPY reading.
USD JPY 3 months:
1st day close 117.65(115,94), av. responses 116.16(115,4), Adjusted boundaries 114-122(112-120).
GVI: 39%(46%) COMPONENTS: 26%69%5%(16%76%8%) DRY INDEX: 29%(44%).
Bearish USD in relative and absolute terms. Dry very bearish. Neutrals a bit diminished.
As above hinted, EUR USD and USD JPY readings like many times in the past seem not quite consistent with a so high JPY bullish sentiment.
OIL 3 months:
1st day close 61.03(68.60), av. responses 63.17(66,22), Adjusted boundaries 54-68(62-76).
GVI:61%(40%) COMPONENTS: 6%67%27%(27%68%5%). DRY INDEX:67%(31%)
6mstdev:3%(3%). Very bullish, on the 6m+2STDDV, the highest number seen in the GVI history. Dry is high too.
Considering the big fall of oil and the neutrals GVI components still relatively high, the reading is less indicative than at a first glance. Anyway if confirmed it could be the first sign that we could have already seen the top in oil and that the prices can go well lower.
Some background changes from previous GVI (+ increased, = unchanged, - diminished)
RTI and RTI em.: = (VIX =-, UST10 SWAP =+, EMBI +, HY =+, USD 1m weighted Vol --, Usd 12m weighted Vol --, CHF REER =-)
3m1y fwrd bp (EUR =, JPY =-, USD -) (Note: correlations i.r. spreads/currencies --)
IMM spec pos (long EUR -, short JPY -, short w.USD -)
Margin spec pos (long EUR-, short JPY-, short w.USD =-)
RR1m (EUR-, JPY-, wUSD+)
UST DSI +++, TIPS (jul 12) B.E -, OAT(jul 12) B.E. =-, corr (TIPs OAT) B.E +. US10y2y =-.
Some words in the news: â€śrecessionâ€ť-, â€śsoft landingâ€ť++, â€śhousing â€¦â€ť --, â€śimbalanceâ€ť =-, â€śCPI, inflationâ€ť-.
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