Category Archives: Research

FX Market Update 11-8

Market Briefs

• EUR/USD -0.12%, USD/JPY -0.13%, GBP/USD -0.11%, EUR/GBP -0.02%
• DXY +0.08%, DAX -0.34%, FTSE -1.06%, Brent -0.58%, Gold +0.12%
• EUR 2.5 billion vanilla option expiries 1.1750-65 today
• DE Jul final CPI y/y, 1.7% vs f’cast 1.7%, prev 1.7%
• DE Jul HICP final y/y, 1.5% vs f’cast 1.5%, prev 1.5%
• China should be neutral if N.Korea fires first on U.S. – Global Times
• China’s July fiscal spending pace slows, but revenues rise
• China’s money rates slightly up on central bank-led cash drain
• Oil drops as IEA sees slow market rebalancing
• Gold buoyed by U.S.-N. Korea tensions

Looking Ahead – Economic Data (GMT)

• 12:30 US CPI (Jul) (mkt 1.8%, prev 1.6%)
• 12:30 US Core CPI (Juk) (mkt 1.7%, prev 1.7%)
• 17:00 Baker-Hughes Oil Rig Count (weekly) (prev 765; -1 w/w, +384 y/y)

Looking Ahead – Events, Other Releases (GMT)

• 13:40 Fed’s Kaplan speaks at certified public accountants event
• 15:30 Fed’s Kashkari speaks at moderated Q&A event
• 15:45 FedTrade operation 15-year Fannie Mae / Freddie Mac (max $475 mn)

Currency Summaries

EUR/USD

• EUR/USD trading a 1.1749-78 range so holding close to today’s expiries
• U.S. CPI data ahead follows softer than f/c PPI release yesterday
• EUR longs likely inclined to book profits after 1.1910-1.1889 reverse
• U.S. rates moving lower and providing support for the uptrend
• 2 year Fed fundd at 2017 low:

USD/JPY

• USD/JPY 108.91-109.26 range in Asia and Europe. June low 108.81
• Early bias higher but pair then gravitates back towards 109.00
• USD 1.6 billion vanilla options expiries @ 109.00 today
• Softer US rates evident ahead CPI data today:
• Soft PPI data yesterday likely influencing the dovish view
• Early Aug lows @ 109.85 now resistance. 2017 low @ 108.13 key below

EUR/CHF

• CHF continues to benefit from risk aversion on the back of N.Korea concerns
• VIX at highest level since Nov, world stocks set for worst week since Nov
• EUR/CHF dropped to threaten 1.1261 (Wednesday low) during European am
• 1.1261 = 50% retracement of 1.0984 (July 13 low) to 1.1537 (Aug 4 high)
• Asia low was 1.1300 (1.1301 was Thursday’s low).
• 1.1300 option expiry for 10am ET NY cut, EUR 200mn strike

GBP/USD

• Cable eased towards 1.2950 during Ldn am after holding sub-1.30 in Asia
• Bids near 1.2950 based cable losses on Tuesday & Thursday
• Offers above 1.30 kept lid on cable Thursday (after 1.2950 threatened)
• Morgan Stanley sees EUR/GBP at 1.00 at start of 2018
• 0.9805 marks all-time high for EUR/GBP (Dec 2008)
• Bids ahead of 0.9000 propped cross on Wednesday & Thursday

USD/CAD

• 1.2724 = European am low for USD/CAD after 4wk high of 1.2753 in Asia
• Ascent to 1.2753 courtesy of risk aversion on N.Korea concerns
• 1.2725, 1.2735, 1.2740 & 1.2745 expiries for NY cut (closest-to-market)
• USD 1.35bln = cumulative size of the 1.2725-45 option expiries
• WTI fell to 16-day low just shy of 48.00/barrel during European am

AUD/USD

• 0.7850 expiry for NY cut is helping to anchor AUD/USD after losses in Asia
• AUD 347mn strike. 0.7839 = 23-day low in Asia on risk aversion/proxy flow
• AUD is lead EM Asia currency proxy. VIX at highest level since Nov
• World stocks set for worst week since Nov on N.Korea concerns

NZD/USD

• 0.7291 = European am high for NZD/USD after 0.7253 revisited in Asia
• 0.7253 was Thursday’s 4wk low after RBNZ jawboning on NZD
• AUD/NZD extended south from 1.0862 to 1.0775 during the European am
• 1.0862 = 3mth high Thursday. AUD hurt by EM Asia currency proxy flow

FX OPTIONS

• USD/JPY 109.00 (1.64BLN), 109.75 (660M)
• EUR/USD 1.1700 (1.17BLN), 1.1750/55 (1.33BLN), 1.1760/65 (1.15BLN)
• EUR/JPY 127.25 (320M), 128.25 (400M), 131.00 (264M)
• EUR/GBP 0.9000 (875M), 0.9300 (623M) EUR/CHF 1.1300 (200M)
• AUD/USD 0.7850 (347M), 0.7900 (643M), 0.7930 (365M)
• USD/CAD 1.2650 (535M), 1.2725 (445M), 1.2735 40 (655M)

COMMENT

USD/JPY has more room to move down

USD/JPY has room to move lower. The absence of Tokyo traders contributed to the break below 109.00. Japanese names have been the main buyers all week and though some doubtless left bids over the holiday, buying was likely reduced as was liquidity. The number of speculative longs, which have certainly been pared this week, are likely to be very large. Risk aversion has been blamed for a lot of the slide this week and overshadowing a key driver, U.S interest rates. Despite strong NFP and JOLTS data, the expected path of U.S. rates has dropped. Fed funds price just 40bp of tightening in the next two years, matching earlier August and June lows. U.S. PPI missed the Rtrs poll forecast suggesting risk to rates from today’s CPI is also to the downside. Reduced Japanese demand may allow for a test towards the 2017 low at 108.13. Should 108.00 break there is little to support USD/JPY ahead of major Nov 2016 high/lows 106.95-106.50.

CHART

USD/JPY pushing an accommodating envelope

Pressure on the 30-day lower Bollinger and the widening of the envelope has freed up room for USD/JPY to go lower this week. Thursday’s sharp fall from 110.18 to 109.15 was contained by the lower Bollinger at 109.13 and a further test of 108.85 earlier Friday saw another rebound, albeit modest. USD/JPY is currently tracking lower within a lower Bollinger and 10-DMA channel with the short-term average on top at 110.14. We would look to fade the 10-DMA on any adjustment but the technical picture is beginning to favour a short play on a break below the 108.81 low from the June 14 hammer candle. Weekly charts also show the market being held up by a Bollinger line and a cloud base at 108.61 and 108.83 respectively. If the market can close below the weekly cloud, the 108.13 low from April becomes vulnerable.

Futuro del peso mexicano 11-8

There has been no apparent attempt by either North Korea or the United States to ease the rhetorical flourishes that have made global investors nervous.  Risk assets were liquidated and the funding currencies, particularly the Japanese yen and Swiss franc, were bought back.  The yen gained 1.5% this week, ahead of the US session, while the Swiss franc gained 1.2%.  Gold is edging higher today for the fourth consecutive session, and is up 2.4% for the week to reach levels not seen in two months.

 

Futuro del peso mexicano 11-8

FX Market Update 9-8

Market Briefs

• EUR/USD -0.05%, USD/JPY -0.46%, GBP/USD +0.18%, EUR/GBP -0.24%
• DXY -0.1%, DAX -1.21%, FTSE -0.79%, Brent +0.58%, Gold +0.56%
• EUR/CHF loses 1.6%: Low of 1.1272 in thin Europe trade
• N.Korea considers missile strike on Guam after Trump’s ‘fire and fury’ warning
• Steady China factory inflation a boon for industrial profits, economic growth
• China says deleveraging efforts showing results but debt still too high
• Japan’s econ minister pledges to stick to primary budget fiscal discipline target
• IT Jun Industrial output y/y, 5.3% vs f’cast 3.4%, prev 2.8& rvsd 2.7%
• Oil edges higher above $52 before U.S. inventory report
• Gold up on rising U.S.-North Korea tensions

Looking Ahead – Economic Data (GMT)

• 11:00 US MBA Weekly Mortgage Application Indices
• 12:15 CA House starts annualised (Jul), (mkt 205k, prev 212.7k)
• 12:30 CA Building permits m/m (Jun), (mkt -2.0%, prev +8.9%)
• 12:30 US Productivity (Q2) (mkt +0.7% q/q AR, prev 0.0% q/q AR)
• 12:30 US Unit Labor Costs (Q2) (mkt +1.7% q/q AR, prev +2.2% q/q AR)
• 14:00 US Wholesale Inventories (Jun) (adv +0.6% m/m, prev +0.4% m/m)
• 14:00 US Wholesale Sales (Jun) (mkt +0.1% m/m, prev -0.5% m/m)
• 14:30 EIA Weekly Petroleum Status Report

Looking Ahead – Events, Other Releases (GMT)

• 15:45 FedTrade operation 30-year Fannie Mae / Freddie Mac (max $1.65 bn)
• 17:00 Fed’s Evans addresses the economy and monetary policy in closed group interview

Currency Summaries

EUR/USD

• Heavy EUR/USD tone that followed JOLTS is maintained
• Position paring dominating today & traders are very long EUR/USD
• No big supports give way though, so far froth off top of big rally
• Resistance around 1.1800 (100/200-HMAs). Support @ Aug 8 low 1.1715
• 21-DMA @ 1.1666 looking pivotal for the many sitting long EUR
• Super Italian IP data overshadowed. Output 5.3% yy from 2.8

USD/JPY

• USD/JPY trades lower as risk aversion spurs position unwinding
• US/N Korea tension spurs broad paring of risk
• Speculators are heavily long USD/JPY & losing: http://reut.rs/2frFQ3f
• Japanese accounts smooth way down buying dollars to offset spec supply
• USD/JPY 109.66 in Europe having opened 109.95, high 110.07
• Asia range 109.74-110.37. More JPY short covering likely regardless Korea

EUR/CHF

• Safe-haven CHF in demand courtesy of North Korea worries
• N.Korea considers missile strike on Guam after Trump “fire & fury” warning
• EUR/CHF down to 1.1333 in Asia & 1.1272 during European am
• DAX & CAC both down over 1%. 1.1272 approximates to July 27 high
• 1.1395 was early Europe recovery rally high from 1.1333
• Key support 1.1200 (stops above 1.12 Feb 2016 high tripped July 27)

GBP/USD

• M&A news was catalyst for cable’s early Ldn rise to 1.3030
• US firm Vantiv clinches GBP 8bln deal to buy Worldpay
• 1.2970-1.2994 was Asia range. 1.2953 was Tuesday’s 19-day low
• EUR/GBP extended south to 0.9012 during the European am
• Losses influenced by P/T on longs since 0.9091 threatened Tuesday
• 0.9091 = 1.10 GBP/EUR. BoE survey: UK firms plan “modest” pay rises

USD/CAD

• USD/CAD eased to 1.2670 after threatening 1.27 in early European trade
• 1.2693 was early Europe high. 1.2698 was Asia high
• Above-figure resistance 1.2705-15 (MondayTuesday highs)

AUD/USD

• AUD/USD met headwind pre-0.79 after firming from 0.7855 (Asia low)
• 0.7895 = European am high. 0.7899 = 23.6% of 0.8043-0.7855
• Drop to 0.7855 on N.Korea worries: AUD main EM Asia proxy

NZD/USD

• NZD/USD respected its 0.7309-0.7335 Asia range thru European am
• 0.7309 = 3wk low. Recent NZD fall on expectations of dovish RBNZ hold
• RBNZ statement 2100GMT: may maintain status quo on OCR guidance
• 0.7300/05 option expiries Thursday, NZD 406mn strikes

FX OPTIONS

• EUR/USD 1.1725 (721M) 1.1700 (566M), 1.1850 (513M), 1.1900 (379M)
• EUR/JPY 130.15-30 (758M)
• USD/JPY 110.00 (849M), 110.45/50 (637M, 109.75 (502M)
• EUR/GBP 0.8900 (420M)
• GBP/USD 1.2975-85 (393M), 1.3000 (178M)

CHART

USD/CHF bull trend faces severe damage

USD/CHF’s trend reversal from July 21’s 0.9439 low to 0.9772 Aug 8 high has hit the rocks with technicals pointing to further setbacks. Daily candle stick Dojis Monday and Tuesday gave warning that the underlying trend was fading and that Doji indecision has now led to a sharp decline to 0.9613 today from 0.9772. Key support is at the 200-WMA at 0.9606, which ties in with a daily Fibo level. Today’s price moves point to potential for a weekly bearish engulfing line which joins a significant cloud break on the daily chart. Cloud parameters are at 0.9654 and 0.9826 with the 30-DMA upper Bollinger line capping the market at 0.9772. On a close below the daily cloud, Fibo retrace levels present bear targets at 0.9606 and 0.9566, 50% and 61.8% respectively. A close back inside the cloud would suggest a period of sideways action before a bullish resumption.

Futuro del peso mexicano 9-8

 

  • USD/MXN opens NY 17.9566, hovers nearby, o/n range 17.9980-17.8510
  • Risk hit as N Korea/US angst ramps up; safe havens UST, XAU, CHF & yen rise
  • NAFTA anxiety hits peso , US, Canada & Mexico set to meet Aug 16
  • USD/MXN res 17.9980 Wed high, 18.0180/90 10/55-DMA area, 18.0855 Jul 10 high
  • Support 17.9358 hrly cloud top, 17.8848 daily pivot, 17.8550 Wed low

Futuro del peso mexicano 9-8

 

 

T-Notes Still Teetering Following Mo Failure Near Range Cap 8-8

Posted on 8/8/2017 7:51 AM by Dave Toth

SEP 10Yr T-NOTESUS T Notes 8-8

The market’s post-payroll failure below 02-Aug’s 125.31 low and micro risk parameter discussed in Fri morning’s Technical Blogconfirms a bearish divergence in short-term momentum that defines Thur’s 126.15 high as one of developing importance and possibly the end of a 3-wave and thus corrective recovery from 06-Jul’s 124.255 low labeled in the 240-min chart below.  The Fibonacci fact that rally from 25-Jul’s 125.155 low spanned a length exactly 0.618-times (i.e. 0.618 progression) early-to-mid-Jul’s preceding 124.255 – 126.12 rally would seem to reinforce at least an interim peak/reversal-threat environment.

As a result of these facts we’re considering Thur’s 126.15 high our new short-term risk parameter from which non-bullish decisions like long-covers and cautious bearish punts can be objectively based and managed by shorter-term traders with tighter risk profiles.

FX Market Update 8-8

Market Briefs

• EUR/USD +0.11%, USD/JPY -0.17%, GBP/USD -0.02%, EUR/GBP +0.14%
• DXY -0.1%, DAX +0.03%, FTSE -0.07%, Brent +0.52%, Gold +0.27%
• DE Jun Trade balance (EUR) SA, 21.2 bln vs f’cast 21.0 bln, prev 20.3 bln
• DE Jun Imports m/m SA, -4.5% vs f’cast 0.2%, prev 1.2% rvsd 1.3%
• DE Jun Imports m/m SA, -2.8% vs f’cast -0.30%, prev 1.4% rvsd 1.5%
• China July exports, imports weaker than expected, cloud global outlook
• BOJ should dial back stimulus even if inflation misses target – ex-dep gov Iwata
• No-confidence vote signals “High Noon” for South Africa’s Zuma
• Tillerson in Thailand presses for more action on North Korea
• Oil prices steady as Saudi cuts September supplies
• Gold rises as dollar eases, focus on U.S. inflation data

Looking Ahead – Economic Data (GMT)

• 10:00 US NFIB Small Business Optimism Index (Jul) (prev 103.6)
• 12:55 US Redbook Same-Store Sales Index (weekly) (prev +2.8% y/y)
• 14:00 US JOLTS job openings (Jun) (mkt 5.775 mn, prev 5.666 mn)

Looking Ahead – Events, Other Releases (GMT)

• 12:00 South Africa vote of no-confidence in Pres. Zuma
• 15:45 FedTrade operation 15-year Fannie Mae / Freddie Mac (max $475 mn)

Currency Summaries

EUR/USD

• Another slow day with EUR/USD close to 1.1800
• European range 1.1802-18 after 1.1792-1.1824 in Asia
• Bond markets undermining EUR/USD:
• EUR 548mln 1.1800 vanilla option expiries today
• Weak mix for French & German trade as both imports/exports fall
• NFP impact on rates marginal:

USD/JPY

• USD/JPY very slightly lower 110.50-65 in Europe
• Continuing consolidation expected within NFP data range 109.85-111.05
• Today USD 490 mln option expiries at 111.00. No major US data
• Rates not providing expected NFP boost:
• USD 12 billion speculative longs continue to weigh on USD/JPY

EUR/CHF

• EUR/CHF met headwind just shy of 1.15 after extending north from 1.1461
• 1.1461 was pullback low from Monday’s 1.1502 high
• Resistance levels beyond 1.1500/02 include 1.1537 & 1.1561
• 1.1537 was last Friday’s 31-month high, 4.8% above prior week’s low
• Swiss July adjusted jobless rate 3.2%, as expected

GBP/USD

• Cable has traded a meagre 21 pip range thus far Tuesday, 1.3032-1.3053
• Peak of that range = pip shy of 21DMA. 1.3059 was Monday’s high
• Bids tipped towards 1.3000 (July 26 low). 1.3008 = 38.2% of 1.2589-1.3267
• 1.2589 = June low after UK election shock. 1.3267 = 11mth high Aug 3
• Aug 3 peak scaled before GBP tanked on dovish BoE hold
• Quarter-yard 1.3000 option expiry for 10am ET NY cut (1400GMT)

USD/CAD

• Spot elicited support pre-1.2650 in Asia after extending south from 1.2715
• 1.2654 = Asia low. 1.2657-1.2671 = European am range
• 1.2715 was Monday’s 24-day high (three cents above recent 25mth low)

AUD/USD

• Huge 0.7950 option expriy for the 10am ET NY cut, AUD 2.5bln strike
• Offers tipped pre-0.7950 (Monday’s high was 0.7949)
• RBA’s Kent due to speak Wednesday. RBA Governor Lowe speaks Friday

NZD/USD

• NZD continues to suffer on expectations of dovish RBNZ hold this week
• 0.7351-0.7369 = Tuesday range-to-date after Monday’s drop to 0.7348
• AUD/NZD up to 1.0779 in Asia, highest level since July 20
• NZD could rally if RBNZ message less dovish than expected Wednesday

FX OPTION EXPIRIES

• EUR/USD 1.1800 (548M)
• USD/JPY 111.00 (490M)
• AUD/USD: 0.7950 (2.5BLN)
• GBP/USD: 1.3000 (245M)

COMMENT

Perhaps EUR/USD longs should book profits

It maybe prudent to use EUR/USD rallies to book a profit. The technical picture remains very bullish and political risks and some fundamentals support the pair. However, a core part of rationale thought to support a higher EUR/USD rate has been running in opposition to that move since July 21. UST/bund spreads have widened. In the not too distant past that would have fuelled short selling of EUR/USD, and it is certainly good cause to book a profit. The shift to wider UST/bund spreads has been led by very long-dated spreads and that is noteworthy because it was the 30 year spread that was first narrowed leading the turn for interest rates that undermined short EUR/USD positions earlier this year. Speculators are holding a big long EUR position and there is little time left now ahead of major CB events in September and Jackson Hole this month. There is never a bad time to take a profit. Chart UST/bund:

CHART

Oversold USD/SEK looks ripe for reversal

An oversold USD/SEK is ripe for a bullish reversal and a few technical pointers are coming together to support that view with the 30-week Bollinger leading the charge. USD/SEK has been below the Bollinger (8.15 Tuesday) for seven weeks and this is a strong indication of an oversold market. Last week’s price moves delivered a hammer candle and modest bullish confirmation so far this week. Weekly bearish momentum is fading and slow stochs have crossed to the topside. We would look to retracement levels off the mid-Dec 2016 9.4476 high and 8.0525 Aug 2017 low. The initial objective is the 23.6% Fibo at 8.3817 but would favour an eventual run to the 50% pullback level at 8.75. A rising 200-week moving average converging on the price could be a double-edged sword with a break to trigger a bearish resumption but provides a natural stop at 8.0062

Futuro del peso mexicano 8-8

 

  • USD/MXN opens NY 17.9120, dips slightly; o/n range muted 17.9455-17.8970
  • Broader mkt mixed DXY off 0.11% GBP lwr, EUR up a touch; BRL lower
  • Upcoming NAFTA negotiations (Aug 16) in focus, MXN trades defensively
  • USD/MXN res 17.9787 50-DMA, 17.9910 Mon high, 18.0855 Jul 10 high
  • Support 17.8970 Tues low, 17.8880 hrly cloud base, 17.8206 10-DMA

Futuro del peso mexicano 8-8