Wednesday April 4, 2007 - 13:40:09 GMT
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FOREX: GVI Monthly Forex Survey Analysis courtesy Cumino
EUR USD 3 months: 1st day close 1.3364(1.3098), av. responses 1.3410(1.2998), Adjusted boundaries 1.30-1.38(1.27-1.35).
GVI 54%(39%)COMPONENTS 13%66%21%(24%73%3%). DRY INDEX: 65%(50%).
EUR GVI INDEX Bullish. Neutrals diminished. Strong bulls increased from 3% to 21%, so more a trend mentality than a relative price mentality. However, looking at the Survey correlations, it seems rather a general USD bearish view. While I see robust reasons for EUR strength, since many are already discounted, I would be cautious if the main reason is placed in its anti-dollar role.
USD JPY 3 months: 1st day close 117.79(115.83), av. responses 115.93(116.31), Adjusted boundaries 114-122(112-120).
GVI: 40%(51%) COMPONENTS: 21%78%1%(18%63%19%) DRY INDEX: 25%(60%).
USD bearish. USD bulls from 19% to 1%. Dry Index even more USD bearish. The result is not surprising, because that behaviour was the rule during last years.
Looking at the two previous Surveys we have to note that at the February Survey the markets were in risk-seeking mode, at the March Survey in risk-adverse mode (The Survey was just few days after the equity turmoil), now markets are in risk-seeking mode though not so good as at February Survey. Currently many high yielders in G-10 and emerging markets have fully retraced their losses since late February, but the yen has not yet fallen to the levels seen before.
RTI (Risk Tolerance Index) is well inversely correlated with USD JPY and from this point of view USD JPY is coherent though is lagging a bit.
During beginning March the US economic surprise Index (well correlated with US 10y yields) bottomed and now is rising. Since it usually moves up a bit the â€śreal sentimentâ€ť in my modest view US economic fears are currently exaggerated.
USD JPY 3m 1y fwrd spread bottomed as well and is now timidly rising. EMBI spreads are near February lows. Equity indexes mostly regained the losses and are now near February levels.
USD JPY vols are diminishing, inflows into ITs are increasing. Specs positions are light (and relatively speaking margin specs are rather long JPY) and RR shows a sort of triple top in the charts. In few words while current mentality is to sell every spike in USD JPY, my advice could be rather to buy every dip.
OIL 3 months: 1st day close 65.94(59.94), av. responses 65.65(61.83), Adjusted boundaries 59-73(53-67).
GVI:50%(55%) COMPONENTS: 6%89%5%(1%88%11%). DRY INDEX:56%(74%)
Neutrals are at all-time highs.
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