Wednesday November 1, 2006 - 21:43:35 GMT
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FOREX: GVI Monthly Forex Survey Analysis courtesy Cumino
COMMENTS Courtesy Cumino..
EUR USD 3 months: 1st day close 1.2740(1.2738), av. responses 1.2804(1.2809), Adjusted boundaries 1.23-1.31(1.23-1.31).
GVI (56%)(58%)COMPONENTS 11%67%22%(12%60%28%). DRY INDEX: 59%(63%).
EUR GVI INDEX Roughly unchanged, bullish in absolute terms. Neutrals increased.
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, I am just repeating previous comment.
USD JPY 3 months: 1st day close 117.42(117.65), av. responses 114.86(116.16), Adjusted boundaries 113-121(114-122).
GVI: 36%(39%) COMPONENTS: 31%66%3%(26%69%5%) DRY INDEX: 24%(29%).
Bearish USD in relative and absolute terms. Dry very bearish. Neutrals a bit diminished.
OIL 3 months: 1st day close 58.36(61.03), av. responses 58.33(63.17), Adjusted boundaries 51-65(54-68).
GVI:52%(61%) COMPONENTS: 8%78%14(6%67%27%). DRY INDEX:47%(67%)
More balanced, still 8% above long term and 4% above 6 m.a.
Some background changes from previous GVI Survey (+ 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 =-)
IMM spec pos (long EUR -, short JPY -, short w.USD -)
Margin spec pos (long EUR--, short JPY++, short wUSD switched to long)
RR1m (EUR--, JPY--, wUSD+)
UST DSI =-, TIPS (jul 12) B.E --, OAT(jul 12) B.E. =-
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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