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Cross Market Analysis

  • #241
  • Jul 23, 2014 3:17am Jul 23, 2014 3:17am
Hi Aws,

Is it still possible to be put on this mailing list?
Sent you a PM on 14. July but to my disappointment I haven't received anything yet.

Cheers.
Twitter - @Jimbaloo
  • #242
  • Jul 23, 2014 3:43am Jul 23, 2014 3:43am
Quoting Jimbaloo
Hi Aws, Is it still possible to be put on this mailing list? Sent you a PM on 14. July but to my disappointment I haven't received anything yet. Cheers.
hey of course,

I got about 50pms and must have missed it. So sorry.
  • #243
  • Jul 23, 2014 3:58am Jul 23, 2014 3:58am
BAML G10 traders

Summary
· G10: Lower EUR, NZD, AUD & EURSEK. higher USDJPY, GBP & USDCAD.
· CEEMEA: Lower USDZAR, USDTRY, EURPLN, EURHUF & EURRON.
· ASIA: US inflation risk seemingly no barrier to further NJA strength.

G10
EURUSD
Conviction – Lower 3/5
As planned we added to our conviction on a clean break of 1.3500; the reason for the move lower yesterday seems a little difficult to nail down as initial expectations of economic sanctions on Russia failed to materialise but EURUSD remained at its lows. We have seen increased activity in the past 24 hours in both spot and option space, with some initial excitement to add to shorts followed by interest to reduce later in the day. As we have argued since 1.3680 this will be a slow grind technical trade and as such little has changed for us. I continue to expect the move lower with bounces back to 1.3500/20 met with good supply.
Resistance: 1.3550, 1.3585
Support: 1.3460, 1.3400, 1.3296

USDJPY
Conviction – Higher 1/5
A softish inflation print in the US last night but the pair didn’t really react. BOJ deputy governor Nakaso states that the end of deflation is in sight, but again no reaction from the pair. I would deduce from recent price action that positioning in the pair is fairly light, given there is so much going on elsewhere in the G-10 space. I have therefore initiated a small long conviction as the lack of focus on the pair could lead to it sneaking higher. The bids lower seem robust and aren’t going away.
Resistance: 101.80, 102.25
Support: 101.10, 100.80

GBP
Conviction – Higher 2/5
EURGBP continues its grind lower as the EUR breaks and closes below 1.35. Continue to hold conviction for a higher pound steering away from cable at the current time. All eyes will be on the minutes for the July BoE meeting released at 9.30 this morning. Cable needs to break above 1.7120 to continue its strength.
Resistance: 1.7120, 1.7200 0.7935, 0.7955
Support: 1.7070, 1.7040 0.7885, 0.7850

AUD / NZD
Conviction – NZDUSD lower 3/5, AUD Lower 2/5
While the market remains net long AUD, the short-term market is clearly short and hence last night’s CPI has caused somewhat of a squeeze in AUDUSD. The range continues to stubbornly persist in AUDUSD and as we have said before only a break of 0.9330 will now encourage me into a higher conviction. NZD remains relatively unchanged in the past 24 hours as we await the RBNZ. My views on the RBNZ remain unchanged from yesterday and as such I suspect any disappointment(lack of dovishness) should be sensibly used an opportunity to add to existing short.
Resistance: 0.9460, 0.9480
Support: 0.9330, 0.9280
Resistance: 0.8775, 0.8840/60
Support: 0.8640, 0.8600

USDCAD
Conviction –Higher 3/5
Canadian retail sales today - our Canadian economist predicts a stronger headline number (0.8% vs. 0.6% expected) but a weaker than expected 0.1% vs. 0.3% expectations when excluding autos; reflecting a pullback from the previous v.strong print and slower income growth. If this proves to be the case we would use the initial dip on the strong headline number as an opportunity to add to our higher conviction as stronger auto spending (typically paid for on credit) is not really the type of economic growth the BoC are looking for.
Resistance: 1.0800, 1.0820
Support: 1.0700, 1.0640/50

SKANDIES
Conviction – Lower NOKSEK 1/5 and EURSEK 2/5
EURSEK again toying with the 9.20 region and looks set to clear a few market positions out below here. Conviction remains low and unchanged.
Resistance: 8.4500 8.5500 9.2700 9.3200
Support: 8.3200 8.3000 9.2000 9.1800
  • #244
  • Jul 23, 2014 5:09am Jul 23, 2014 5:09am
Short sterling M5's continue to rise... 1st rate hike priced in at dec 2014. However I don't think we will because of wage growth being terrible, and that being the main target for the BoE now.

Likewise, carry/vol is coming off quite a bit, especially with GBP vols rolling higher as the scottish referendum nears.

All in all, given the fact that EVERYONE is long the GBP, we could definitely see it being a weak currency going forward.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: GBP carryvol.png Size: 26 KB
Click to Enlarge Name: FSSM5.png Size: 33 KB
  • #245
  • Jul 23, 2014 5:33am Jul 23, 2014 5:33am
Quoting Aws1962
Short sterling M5's continue to rise... 1st rate hike priced in at dec 2014. However I don't think we will because of wage growth being terrible, and that being the main target for the BoE now. Likewise, carry/vol is coming off quite a bit, especially with GBP vols rolling higher as the scottish referendum nears. All in all, given the fact that EVERYONE is long the GBP, we could definitely see it being a weak currency going forward. {image}{image}
Have anything on 1.3450? Barrier?
  • #246
  • Jul 23, 2014 7:52am Jul 23, 2014 7:52am
Quoting Ken A
{quote} Have anything on 1.3450? Barrier?
I haven't heard anything about a barrier there? I'm mean there will be, but nothing huge I don't think. (then again there are barriers at nearly every 5 pip interval, so its not like its going to be a big deal.
  • #247
  • Jul 23, 2014 10:20am Jul 23, 2014 10:20am
Quoting Aws1962
{quote} I haven't heard anything about a barrier there? I'm mean there will be, but nothing huge I don't think. (then again there are barriers at nearly every 5 pip interval, so its not like its going to be a big deal.
Regardless, 1.3450 looks like to be a tough one.

All EURXXX are at support
  • #248
  • Jul 23, 2014 1:42pm Jul 23, 2014 1:42pm
RBNZ OCR decision soon!

Market currently prices in a 65% of a rate hike... so we will definitely see a move tonight, which is nice.

My preferred play is to sell a spike on a 25bps rate hike, as I think we are coming to the end of the hiking cycle...

my exposure going in, is long 1.5530 EURNZD call, short 1.56750 call (2x) for friday cut.

Pay off is shown below
Attached Image(s) (click to enlarge)
Click to Enlarge Name: NZ 10Y.png Size: 36 KB
Click to Enlarge Name: NZINT.png Size: 91 KB
Attached Image
  • #249
  • Jul 23, 2014 2:09pm Jul 23, 2014 2:09pm
Same here short AUDNZD spot at 1.0880
  • #250
  • Jul 23, 2014 2:21pm Jul 23, 2014 2:21pm
Quoting Ken A
Same here short AUDNZD spot at 1.0880
Thoughts as to why?
  • #251
  • Jul 23, 2014 2:29pm Jul 23, 2014 2:29pm
Quoting Aws1962
{quote} Thoughts as to why?
Already have bunch of old shorts for EURNZD and longs NZDUSD as old as 2013
  • #252
  • Jul 23, 2014 4:10pm Jul 23, 2014 4:10pm
Got knockout of AUDNZD
  • #253
  • Jul 23, 2014 4:29pm Jul 23, 2014 4:29pm
perfect move. EURNZD long doing v. well.

Odd strength of language today, even though most expected a pause in hikes, we didnt think they would actually "say" that they will

*RBNZ SAYS LEVEL OF NZ DOLLAR UNJUSTIFIED; COULD HAVE BIG FALL
*RBNZ SAYS PRUDENT FOR PERIOD OPF ASSESSMENT ON RATES

anyway, good night and good luck. PMIs in the morning
  • #254
  • Jul 24, 2014 4:13am Jul 24, 2014 4:13am
EURNZD trades at 1.57.

If you look at the pay-off, that is exactly where I was targeting. So I've made a tidy profit on that trade in less than 18 hours.

EURUSD is squezzing on some decent data... needs to either take 1.35 intra-day. Or close above 1.3480. But it currently is doing so.
Attached Image
  • #255
  • Jul 27, 2014 4:48pm Jul 27, 2014 4:48pm
EURUSD DTCC report for the next week... huge 1.35s going off.

2.8bn across the week, mostly post wednesday, but maybe look for the market to edge higher (short covering as well) before wednseday and the data following.
Attached Image (click to enlarge)
Click to Enlarge Name: EURUSD dtcc.png Size: 23 KB
  • #256
  • Edited 7:56pm Jul 27, 2014 7:09pm | Edited 7:56pm
Any chance we may reach 1.352 before the data release on Wednesday?!!!

To add the week's heat, Argentina may go nuclear in a couple of days! Like this week needs extra events already
"It's the Margin, Stupid."
  • #257
  • Jul 28, 2014 2:58am Jul 28, 2014 2:58am
Quoting Vachus
Any chance we may reach 1.352 before the data release on Wednesday?!!! To add the week's heat, Argentina may go nuclear in a couple of days! Like this week needs extra events already
There's always a chance. COT positioning in 6E is already stretched by recent standards.

The downward momentum could also continue. In my experience, EUR doesn't hang about when it has finally decided on a direction.
1.34-zone should still provide some decent support.
Twitter - @Jimbaloo
  • #258
  • Jul 28, 2014 4:05am Jul 28, 2014 4:05am
Quoting Jimbaloo
{quote} There's always a chance. COT positioning in 6E is already stretched by recent standards. The downward momentum could also continue. In my experience, EUR doesn't hang about when it has finally decided on a direction. 1.34-zone should still provide some decent support.
1.352 is quite a long way away unfortunately... I doubt a short squeeze is enough to go that far!

also, bear in mind CoT data is awful. It doesn't really represent the market as it only caters to small CTAs in the US.
  • #259
  • Jul 28, 2014 4:06am Jul 28, 2014 4:06am
Summary
G10: Strongest convictions lower EUR & NZD and higher USDCAD.
CEEMEA: Lower USDZAR, EURHUF & USDTRY.
ASIA: Quiet session overnight with Singapore, Malaysia and Indonesia on holiday.

G10
EURUSD
Conviction – Short 3.5/5
We continue the grind lower, with little in the way of any threatening rallies to scare shorts. More noise about wage increases in Germany to boost zone wide inflation garnering ECB support over the weekend, but little reaction in the pair. The inflation reports later in the week should matter little in the ECBs overall stance. Month end USD buying from local corps should gain momentum from tomorrow onward, so we would look to fade any euro strength on what will be the quietest day of the week in terms of news/events.
Resistance: 1.3475, 1.3500
Support: 1.3400, 1.3295

USDJPY
Conviction – Long 1/5
The pair should remain supported into payrolls this week with broad based USD strength. The FOMC may be a tad more interesting this week, if any [particular mention is given to the robust payroll prints of late in the statement. Yellen changed her language a couple of weeks ago in her testimony to congress, so it would make sense that this is included. Having said that I think we will struggle to break the 102.05-25 ceiling with Japanese corps becoming more active into month end.
Resistance: 102.05, 102.25
Support: 101.40, 101.60

GBP
Conviction – Higher 2/5
Conviction unchanged preferring lower EURGBP. Failure to break the downtrend in EURGBP at 0.7935 it feels that the grind lower in the cross will resume. Cable is steadily falling with the higher USD across the board. Wait for a clearer picture for cable after FOMC and NFP later this week.
Resistance: 1.7020 1.7055 0.7940 0.7955
Support: 1.6970 1.6940 0.7885, 0.7850

AUD / NZD
Conviction – NZDUSD lower 3/5, AUD Lower 2/5
No change in conviction. I continue to think that NZDUSD trades back to 0.8100/0.8200 in the coming months as the confluence of factors we have talked about for the past few weeks subside. On any rallies to 0.8620 we will add to our lower conviction. I believe people have been a little too quick to fade the weakness since RBNZ. 0.8420 provides strong support and more medium term pivotal level. AUD still expected to drift lower in sympathy with NZD in the coming sessions and suspect we have one more test of 0.9330. On any rallies to 0.9440/50 we will add to our lower conviction.
Resistance: 0.9460, 0.9480
Support: 0.9330, 0.9280
Resistance: 0.8560, 0.8640
Support: 0.8530 0.8420

USDCAD
Conviction – Higher 3/5
Following Fridays rally in the pair we stick to our higher conviction. Initial resistance at 1.0820 held with 20 the high on the day; this will be the level to break for a further move higher with 1.0832 the 200 DMA. Canadian GDP, FOMC and NFP’s this week will be key; our higher conviction is conditional on the US story continuing to pick up and further poor Canadian data: a disappointing NFP number combined with Canadian GDP above 0.3% would negate our conviction. We will be adding to our conviction on any dips to 1.0780.
Resistance: 1.0820, 1.0900
Support: 1.0780, 1.0700

SKANDIES
Conviction – Lower NOKSEK 2/5 and EURSEK 2/5
SEK remains on a firmer footing following Fridays retail sales and positioning in the market continues to be unwound. EURSEK sits below levels prior to Riksbank 50 cut. From here I favour that rallies to 9.20 will be sold and a further move lower will ensue.
Resistance: 8.4500 8.5500 9.2000 9.2300
Support: 8.3200 8.3000 9.1500 9.1200
  • #260
  • Jul 28, 2014 8:39am Jul 28, 2014 8:39am
Desk likes short AUDNZD on a tactical play up here...

heavy vs. Interest rate spread (red line) and also short term techs are overextended and diverging.

Flow is seemingly NZD negative still, so we could see relative value short covering, hence AUDNZD dropping.
Attached Image (click to enlarge)
Click to Enlarge Name: audnzd.png Size: 112 KB
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