Currencies: JPY outperformed on concerns about US growth and the European sovereign debt crisis. AUD and NZD underperformed on the risk aversion, although AUD appreciated versus the NZD after Australia’s Labor party changed its leader – and the country’s PM.
USD/CHF. Holding above 1.10
USD/CHF (1.1038) is down slightly overnight, but continues to hold above 1.10 support. With EUR/USD fading, EUR/CHF remains mired near a record low.
Technicals:
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Trend: daily lower; weekly lower.
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Overbought/Oversold (stochastics): Daily oversold; Weekly overbought.
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Support/Resistance levels: Resistance lies at 1.1731 (Jun1 high) and 1.1742 (Apr’09 high), while support lies at 1.1001 (Jun21 low) and 1.0924 (May10 low).
Positioning:
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The CFTC non-commercial net position fell to -16K, among the lowest readings since 2007, and suggestive of USD/CHF weakness.
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The risk reversal (3m, 25delta) rose overnight but remains near the lows since Oct’09 as this market segment has largely abandoned its bullish USD/CHF call.
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Implied Vol (3mo) is up slightly overnight but remains near multi-year lows.
Cross-asset valuation: USD/CHF has correlated mostly strongly during the past 60 days with EUR/USD (negative), the USD index (positive) and the US 10yr yield (negative)
USD/CAD. Rebounding above 1.02
USD/CAD (1.0328) is up overnight and rebounding above 1.02. The downtrend is being tested.
Technicals:
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Trend: Daily higher; weekly higher.
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Overbought/Oversold (stochastics): Daily oversold; weekly neutral.
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Support/Resistance Levels: Resistance lies at 1.0430 (Downtrend from May), 1.0853 (May25 high) and 1.1725 (Jul’09 high). Support lies at 1.02 (psychological), 1.0139 (Jun21 low), 1.0110 (May13 low), 0.9931 (Apr21 low), 0.9825 (May’08 low), 0.9712 (Feb’08 low), 0.9058 (Nov’07 low).
Positioning:
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The CFTC, non-commercial, net position rose modestly to 28.6K, rebounding at the low end of the uptrending channel it has traced out in recent months.
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The risk reversal (3m, 25delta) is up overnight consistent with this week’s rebound.
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Implied Vol (3m) continues to consolidate near the middle of it’s range so far in 2010.
Cross-asset valuation: In terms of other assets correlating with USD/CAD, watch the SPX (negative), DXY (positive), CRB (negative), crude oil (negative), and the 2yr spread (negative).
