Strategic Technical Themes: Weekly Outlook and Technical Highlights

Strategic Technical Themes
Weekly Outlook and Technical Highlights
Karen Jones & Axel Rudolph | Technical Analysis Research | Monday, 04 July 2011
Summary
Foreign Exchange
US dollar Index failed to sustain break of trend line and reacted back. Further ranging necessary. EUR/USD holds 200 week ma and is ranging, price action has neutralised immediate outlook. EUR/GBP has broken above the top of a 2 year channel target .9140/45 then .9414 longer term. EUR/CHF is trying to base we suspect. Time to exit long Swiss Franc positions. EUR/SEK has rejected top of 6 month channel. Short term looking for further weakness, but longer term viewed as a base and favour recovery from low 9.00 region.. A weaker Japanese Yen is evident. We look for USD/JPY to recover to the 4 year downtrend at 83.13 and EUR/JPY to rally towards the 123.33 2011 high.
Fixed Income
Sharp reversals in fixed income markets indicate that the markets have seen major turns. Bund has reversed from its 50% retracement at 127.31 and looks set to head lower, ditto JGB and Us T-Bonds Swap curves are widening notably US 2-10 and GBP 2-10 and we revert to widening short term on both. The EU 2-10 will maintain a short term widening bias while above 1.20.Longer term we maintain a narrowing bias US 10Y Vs EU 10Y swap -Market has reversed from -30, and looks to be basing, this implies US T-Notes will underperform Bunds.
Commodities and Other Markets

Energy Markets have 'mean reverted' to long term moving averages. Strong rebounds from moving averages must be respected - suggests down moves over for now. Spot Gold- Breakdown targets the 50% retracement at 1442.70. We are short to medium term bearish (next 3 months). The ITRAXX 5Y crossover - The November low at 430.70 has led to failure, has sold off to the 383 2010 low. This is now exposed.
Karen Jones & Axel Rudolph | Technical Analysis Research | Monday, 04 July 2011 1
Technical Trade Ideas
Date
Instrument
Trade Idea
Stop
Take Profit
Outcome Long 1.6170, current 1.6100 Short 1.6025, current 1.6089 No position yet
P&L
27.06.2011 27.06.2011 30.06.2011
Buy USD/TRY Sell GBP/USD Sell bund
1.62, 1.6140 Sell 1.6025, 1.6140 126.35, 126.62
1.5920 1.6265 127.57
1.73 1.5550 124.60
Bullish and bearish trending signals

Bullish (ADX>20, MACD>0 and +DI>-DI) Bearish (ADX>20, MACD<0 and +DI<-DI)
Many trending signals have switched off usually indicates markets in consolidation or reversal mode
NB: This is NOT a model and is intended for reference only. It is a basic system to determine if a market is trending or not. It cannot judge strength of support or resistance or whether various momentum oscillators have diverged. For this reason it is possible that the we will occasionally hold a different position to that indicated by the tables above.
Currency ranking vs the US Dollar for the past 5 days
Source Bloomberg 6.18 AM Bloomberg 8.50 AM

Karen Jones & Axel Rudolph | Technical Analysis Research | Monday, 04 July 2011 4
Foreign Exchange
The US Dollar Index

Failed to sustain break of trend line and reacted back. Further ranging necessary
The US dollar index failed to maintain a break of the 20102011 downtrend, and has reacted sharply lower, back into its range. This is disappointing price action and we will neutralise our immediate outlook. We note that price action is underpinned by the 2008-2011 support line, which is located at 72.80. We also note that the market has recently sold off to and held over the 73.48/78.6% retracement of the move seen in May and this leads us to assume that the US dollar is trying to base longer term. HOWEVER a close above 76.47 is needed to confirm a possible base (23.6% retracement of the move 20102011). While capped here we are likely to see further ranging. Support lies at 74.00, 73.50 ahead of the 72.70/80 region. Above 76.50 would target initially 78.81/94, the location of the 38.2% retracement of the move down from the peak seen in 2010 and the 200 week ma. However longer term we look for a move to the top of the multi year range at 87.80.
Choppy sideways behaviour
EUR/USD holds 200 week ma and is ranging

Price action has neutralised immediate outlook
weekly
The rally higher last week, implies there is some unfinished business on the topside. We have extremely tough resistance initially at 1.4732 and then at 1.5145 which is expected to cap the market.
EUR/GBP has broken above the top of a 2 year channel
The weekly close above the top of the channel at .8980 is significant as this implies that the market has further upside potential to initially .9140/48. The 2010 high and the 61.8% retracement of the move down from the 2008 spike. Our longer term target is .9414/31, the October 2009 high and the 78.6% retracement of the move down from 2008.
EUR/CHF - looking more interesting

Is this trying to base?
EUR/CHF daily
EUR/CHF is attempting to base and has seen a robust rebound from the 1.1800 region. This low was extremely close to the base of its 3 year channel and we have to ask ourselves is this part of a more significant turn? It is possible however the measurement lower from the 1.24-1.32 consolidation measures to 1.1600, we have a Fibonacci extension to 1.1650 (from the 2007 peak) both suggest that there is room for one more probe lower and we must allow for this scenario. A close above the 1.2400/08 pivot and 55 day ma would however add weight to the idea that the market was trying to base and trigger a rally towards the 1.2865 one year down channel.
1.2400/08 key pivot and 55 day ma
Time to exit long Swiss France trades

USD /CHF Weekly CAD/CHF Weekly
Market has reversed from 8 year support line, connecting lows in 2003, 2009 and 2011 (currently located at .8408. Last week was a key week reversal.
USD/CHF has reached the base of a 8 year down channel, RSI is diverging
10
EUR/SEK rejects top of 6 month channel

However longer term is viewed as basing, looking for market to find support in low 9.00 region
Weekly EUR/SEK has seen a swift rejection from the top of its 6 month channel, located at 9.2820 currently. The emphatic rejection, coupled with a divergence of the daily RSI points to a corrective set back near term and we would allow for a pullback into the 9.0285/8.9385 band (the 61.8% retracement of the rally higher seen in June and the base of the channel). With the 55 and 200 day ma located at 9.0378/9.0203 we look for the market to ideally base in the low 9.00 region. Daily
11
Weaker Japanese Yen

USD/JPY weekly chart Looking for 83.13 4 year down trend to hold the initial test. BUT longer term viewed as a major base developing EUR/JPY has based at the 55 week ma, Fibo and 200 day ma implying a medium term rally to 123.33 2011 high. EUR/JPY weekly chart
12
Fixed Income
13
Bund - has failed at the 50% retracement and looks to have topped
Daily Continuation
The bund has seen sharp rejection from the 50% retracement resistance at 127.31. It has eroded its 23.6% retracement support at 125.64 and is under pressure near term. We believe it will extend losses back to the 124.62/26 region. This is the location of the 38.2% retracement of the move up from April and the 55 day ma. Intraday rallies should now struggle 126.42/62 (16th June high) and remain capped by the 127.57 we view this as an interim peak. Firstly the market has failed a a key long term Fibonacci retracement, secondly the daily RSI has diverged and lastly we have a 13 count on the TD Combo. Failure at the 50% retracement and failure circa the 200 WEEK ma average at 126.65 suggests that the market has charted a significant turn at 127.57. A close below 124.40 would add weight to that view and target 123.71 then 122.80 en route to 121.13/50 the 55 week ma. Note that if the market closes below 125.70 today this will be a bearish engulfing pattern.
14
Bund weekly chart

Market has failed at the 50% retracement resistance at 127.36
Bund Futures Weekly Continuation Chart
50% retracement at 127.36
15
BOBL weekly chart

Major rejection from 118.17/44
16
EU 5Y Swap
Major rebound from key support at 2.56 (the 2005 low).
EU 5Y Swap Daily Chart
The EU 5Y swap has reversed from the 200 day ma at 2.63 today. It has reversed just ahead of major support at the 2.56 2005 low. We are not surprised to see reversal here as this is such a key zone. This major support is reinforced by the 55 week ma at 2.47 and we believe that the market has now based. Immediate resistance is offered by the 55 day ma and downtrend at 2.856/2.88, while we would allow for this to hold the initial test, we also look for it to be eroded. Above here should generate some upside interest a and retarget 3.00/05 en route to the 3.24 April high. Dips will find intraday support at 2.75 and are expected to remain underpinned by 2.63/56.
55 day ma and downtrend at 2.865/2.88
17
EU 2Y Swap
Very strong rebound off the 2010-2011 uptrend at 1.9835
EU 2Y Swap Weekly Chart
The EU 2Y swap has sold off to and reversed from the 9 month uptrend at 1.9835. The strong rally from here and erosion of resistance at 2.12/14 implies that the market has based. The move above 2.14 targets 2.22/24, the 55 day ma and 7th June high. While this may hold the initial test we should see an eventual erosion for a move to 2.36 then the 2.48 peak. Dips should find initial support at 2.12/10 ahead of the 2.00/1.9835 region which now looks set to underpin
Uptrend at 1.9835
18
EU 2-10 swap curve

Corrective phase appears to be ending. Below 1.20 will confirm
EU 2-10Y Swap Curve 60 minute Chart
The EU 2-10 swap curve has tuned lower from 1.30. It is possible that the market has ended its corrective phase and is resuming its narrowing bias. But are cautious and require a break below 1.20 This holding would imply a further upside attempt. Note this move is regarded as corrective only and we look to find better levels to re-establish the longer term narrowing bias. Below 1.20 should see the narrowing bias resume and attention revert to the 1.0550 region these were the lows seen throughout Q4 2010. Above 1.30 lies tougher resistance at 1.32/1.33 (March and April high), where we would expect to see signs of failure. Longer term a major top is being drawn. This will complete below 1.0550 and target 1.00/1.02 en route to 0.70. Above 1.33 would see an extension to 1.36 then 1.40/1.4150 where we would again expect to see failure.
19
US 10Y T-Notes
Sharp drop on the weekly chart nails a major top
US 10Y T-Notes Weekly Continuation Chart
September US 10Y T-Notes have formed a major top at 124315 before rapidly dropping through the 122-145 mid-June low towards the 55 day moving average at 121-20. In its vicinity a minor correction higher may be seen but this should be short lived before another down leg takes the futures contract to the 120-15 March high and then to the 200 day moving average at 120-00 and below. Longer term the 200 week moving average and 2007-11 uptrend line at 118-29/235 are now in focus. Trades back below the 55 week moving average at 122-24 We believe that a new bear market has now begun. Any short term recovery is expected to fail around the 12300 level or, at worst, around the 123-175/124-12 (June 21st low and June 16th high) area.
20
US 2-10Y Swap Curve

Trend reversal is being seen, should widen from now on
US 2-10Y Swap Curve Daily Chart
The US 2-10Y swap curve has reached the 2.36 level, only to then sharply widen towards the 2.59 level so far. It and the 2.60 level may well cap it for a few days before another push towards the 2.69 April extreme and then the 2.73 2010 high is taking place. The latter level from now on represents our medium term upside target. Minor support is found along the breached resistance line and the 55 day moving average at 2.525 with further support coming in along the 200 day moving average at 2.47. Only an unexpected drop through the June 2.36 low would void our now widening outlook.
Trend reversal is taking shape
21
US 10Y swap- EU 10Y swap weekly
Market has reversed from 30, looks to be basing, this implies US T-Notes will underperform Bunds.
Basing action clearly evident on the daily chart
22
JGB Futures
Trades back below the 50% retracement at 141.23 and now looks toppish
JGB Daily Continuation Chart
September JGB futures are trading back below the 50% retracement of the late 2010 descent at 141.23, having briefly overshot to 141.63 before changing tack again. The 200- and 55-day moving averages at 140.75 and 140.50 now beckon again and these should be reached in the weeks to come. Once the 140.45 May 11th low has been slipped through, the 140 region and then the major 138.38/16 support zone (December to April lows) will be back in the picture. Our toppish scenario will remain in place whilst trading below the June 141.63 high point. We have thus changed our outlook from the positive one we adopted only last week to a bearish one once more.
Trend reversal lower is being witnessed
23
GBP 10Y swap

Shot up from the 3.33 support area and now targets the 3.93/4.07 region
GBP 10Y Swap Weekly Chart
The GBP 10Y swap has been repelled by the 61.8% Fibonacci retracement of the 2010-11 advance at 3.3309 and also broke out of its three month downtrend channel. This indicates that a significant trend reversal higher is now underway with the 3.93-to-4.07 region being our longer term upside targets. It consists of the April and February highs. First, though, the 2011 resistance line at 3.7261 will need to be sliced through. While trading above the June low at 3.315, our bullish outlook will remain prevalent. Minor support is seen around the 50% retracement of the 2010-11 advance at 3.47 and along the 2010-2011 support line at 3.231.
Has bounced off support at 3.33
24
GBP 2-10Y Swap Curve

Widens towards the 2.135/2.165 resistance area
GBP 2-10Y Swap Curve Daily Chart
The GBP 2-10Y swap curve has clearly broken through the 2010-11 downtrend line at 2.0170 and now has the 2.135/2.165 resistance area in sight. This is made up of the December and January highs.
Downtrend line at 2.0170 has been breached
It is expected to be overcome, however, with the 2.2925 April 2009 high and the 2.30 region then being back on the map. We will hold onto this widening forecast as long as the 200 day moving average at 1.9772 underpins. Minor support is found between the 2.02 early June high and the psychological 2.00 level.
25
Commodities
26
Spot Gold
Breakdown targets the 50% retracement at 1442.70
Spot Gold Daily Chart
Spot gold has dropped through the 2011 uptrend line and now also trades below the 55 day moving average at 1519. The 38.2% Fibonacci retracement of this years advance at 1474.54 and the May trough at 1462.10 are now being targeted and should be fallen through in the weeks ahead. The 50% retracement of the 2011 advance at 1442.70 is our medium term downside target for the second half of the year. Further down lurks the 200 day moving average at 1416.82, together with the 2008-11 uptrend line at 1405.93, both of which may well be hit in the months to come. Minor resistance above the 55 day moving average at 1519 is seen along the breached 2011 uptrend line at 1542 and in the 1550/1558.75 region which is where last weeks high and subsequent reversal lower was made. We are now short- and medium-term bearish.
Support 1474.54/1462.1 1442.7&1416.8 Resistance 1516.5&1532.3 1550/1558.75 1-Week View 1-Month View Downside targets are seen at 1462.10 and 1442.70
27
Energy Markets 'mean revert' to long term moving averages

Strong rebounds from moving averages must be respected - suggests down moves over for now
Weekly NYMEX Crude Oil Daily Heating Oil
Holding 55 week ma support at 88.77
200 day ma at 2.7038
Daily Brent Crude Oil
Daily Natural Gas
200 day ma at 102.28 provokes strong rebound
200 day ma at 4.168
28
ITRAXX 5Y Crossover
The November low at 430.70 has led to failure, has sold off to the 383 2010 low
ITRAXX 5Y Daily Chart
The ITRAXX 5Y Crossover index came off the 430.70 November 2010 low and has reacted back to the 2010 low at 383.31. While this has held the initial test, it is now exposed. Below it lurks the 55 day moving average at 379.03 and also this years low at 352. Only a now no longer expected rise to above the June 430.13 high will void our bearish medium term forecast. In this case the more significant 452.77/460.35 resistance area (August 2010 low, the 38.2% Fibonacci retracement of the 2010-11 decline, this years high, made in early January, and the March 2010 peak) could be reached but should cap.
Targets the 2010 low at 383.31
29
Technical Signals
If MACD>zero And +DI>-DI YES
Then Bullish trending signal
Is the market trending? Is ADX>20 Neither criteria is met
Market is trending but not yet registering a bullish or bearish signal
NO If MACD< zero Market is not trending And +DI<-DI Then Bearish trending signal
30
Glossary
ADX
J. Welles Wilder developed the Average Directional Index (ADX) to evaluate the strength of a current trend. The ADX is an oscillator that fluctuates between 0 and 100. Even though the scale is from 0 to 100, readings above 60 are relatively rare. Low readings, below 20, indicate that the market is not trending and high readings, above 40, indicate a strong trend. It does not determine if the trend is bullish or bearish BUT just establishes whether a trending situation exists. DI+ = positive directional indicator, DI- = negative directional indicator. Buy and sell signals are generated when DI+ and DI crossover.
Moving Average Convergence/Divergence (MACD),

MACD uses moving averages, which are lagging indicators, to include some trend-following characteristics. These lagging indicators are turned into a momentum oscillator by subtracting the longer moving average from the shorter moving average. The resulting plot forms a line that oscillates above and below zero, without any upper or lower limits. There are many ways to use this indicator but the simplest is that when above zero is denotes market strength and when below zero denotes market weakness.
NB: This is NOT a model and is intended for reference only it a basic system to determine if a market is trending or not, it cannot judge strength of supports or resistance or whether various momentum oscillators have diverged. For this reason it is possible that the we will occasionally hold a different position to that indicated by the tables.
31
Other technical analysis reports we publish are:

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Tel: + 65 63110000
34
Karen Jones
Head of FICC Technical Analysis Tel. Mail +44 207 475 1425 karen.jones@commerzbank.com
Axel Rudolph
Senior FICC Technical Analyst Tel. Mail +44 207 475 5721 axel.rudolph@commerzbank.com
Zentrale Kaiserplatz Frankfurt am Main www.commerzbank.de Postfachanschrift 60261 Frankfurt am Main Tel. +49 (0)69 / 136-20 Mail info@commerzbank.com

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Strategic Technical Themes

Weekly Outlook and Technical Highlights

Commodities and Other Markets

Technical Trade Ideas

27.06.2011 27.06.2011 30.06.2011

Buy USD/TRY Sell GBP/USD Sell bund

1.62, 1.6140 Sell 1.6025, 1.6140 126.35, 126.62

1.5920 1.6265 127.57

1.73 1.5550 124.60

Bullish and bearish trending signals

Currency ranking vs the US Dollar for the past 5 days

Source Bloomberg 6.18 AM Bloomberg 8.50 AM

The US Dollar Index

Choppy sideways behaviour

EUR/USD holds 200 week ma and is ranging

EUR/GBP has broken above the top of a 2 year channel

EUR/CHF - looking more interesting

1.2400/08 key pivot and 55 day ma

Time to exit long Swiss France trades

EUR/SEK rejects top of 6 month channel

Weaker Japanese Yen

Bund weekly chart

BOBL weekly chart

EU 2-10 swap curve

US 2-10Y Swap Curve

US 10Y swap- EU 10Y swap weekly

Basing action clearly evident on the daily chart

GBP 10Y swap

Has bounced off support at 3.33

GBP 2-10Y Swap Curve

Energy Markets 'mean revert' to long term moving averages

Holding 55 week ma support at 88.77

200 day ma at 2.7038

Daily Brent Crude Oil

Daily Natural Gas

200 day ma at 102.28 provokes strong rebound

200 day ma at 4.168

Targets the 2010 low at 383.31

If MACD>zero And +DI>-DI YES

Then Bullish trending signal

Is the market trending? Is ADX>20 Neither criteria is met

Market is trending but not yet registering a bullish or bearish signal

Moving Average Convergence/Divergence (MACD),

Other technical analysis reports we publish are:

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