Strategy 01082011

Strategic Technical Themes
Weekly Outlook and Technical Highlights
Karen Jones & Axel Rudolph | Technical Analysis Research | Monday, 01 August 2011
Summary
Foreign Exchange
US Dollar Index charted an outside day to downside remain negative. EUR/USD upside bias remains, target 1.4700. EUR/CHF is in new lows, next support is 1.1275.USD/JPY is approaching the 76.25 low, daily RSI is oversold, we look for this to hold. Emerging FX Russian Rouble and Turkish Lira both set to strengthen.
Fixed Income
Bund Is bid above 128.25, target 131.60. EU 2-5 swap curve - Market has not maintained break of 7 month downtrend and is back under pressure, EU 210 swap curve is ranging. EU 10Y asset spread - Massive acceleration higher, has 69.00/70.00 in its sights. Spain 10Y yield - Under pinned by the 55 day ma at 5.60 keeping pressure on the topside. Target 7.00. The Spain 10Y Vs German 10Y has met initial target 353, next resistance is 417. Italy 10Y yield targets 7.33. US T-Note - Eyes the 2009-11 resistance line at 126-30. US 2-10 swap curve is eroding major support at 2.35/2.36 (2008-2011 uptrend), maintain narrowing bias. JY 2-10 swap curve - Attention remains on the 61.8% Fibonacci retracement at .714.GBP 2-10 swap curve - new lows for the year, target 1.81/1.79 then 1.69.
Commodities and Other Markets

Spot gold is expected to consolidate at 1628.84/1639 resistance band, maintain positive bias. NYMEX Crude Oil - Neutral to positive look for market to reattempt to gain a foot hold above 100.00. ITRAXX 5Y crossover - Stabilising at the 410/03 support area, favour move higher
Karen Jones & Axel Rudolph | Technical Analysis Research | Monday, 01 August 2011 1
Bullish and bearish trending signals

Bullish (ADX>20, MACD>0 and +DI>-DI) Bearish (ADX>20, MACD<0 and +DI<-DI)
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

Foreign Exchange
US Dollar Index - weekly chart

Outside day to downside remain negative
Daily Chart Break of 3 month uptrend is negative short term. Fridays price action constituted an outside day to the downside. Focus is on the 73.55/50 support. This is the 78.6% retracement and the June low and must hold the downside for a semblance of stability to remain. Failure to hold over 73.50 on a closing basis would leave the market under pressure to retest the 72.70 May low Medium term there is a risk that the move will stretch to the 70.70 / 2008 low, however this is not our central forecast. Rallies will find the 55 day ma at 74.84 currently, will offer near term resistance and the market will need to regain this zone to alleviate current downside pressure.
EUR/USD upside bias remains

Target 1.4700
Daily While holding over 1.4270 on a closing basis, an immediate upside bias remains. Scope remains for a move to 1.4580 then the 1.4696/1.4704 resistance (June high and 78.6% retracement). This is the last defence for the 1.4940 high. Market will remain bid near term above 1.4185 failure here will neutralise chart and signal another sell off the 200 day ma at 1.3932.
EUR/USD - weekly chart

The 1.5140/45 high is viewed as major resistance
Weekly
The 1.5140/45 resistance is viewed as major. This represents the 2009 high and the 78.6% retracement of the move down from the 2008 peak to the 2010 low. While capped here, our longer term bias is neutral to bearish.
EUR/CHF in new lows

Daily EUR/CHF Chart
EUR/CHF has charted a new low. The collapse lower was unexpected. We have a Fibonacci extension at 1.1275, a April to July support line at 1.11, Psychological support at 1.10, then nothing until 1.0775. The daily RSI continues to not confirm the low, however neither has it provoked reversal and while capped by the 20 Day m.a. at 1.1721 we will assume a downside bias. Initial resistance is 1.1525, the 38.2% retracement of the last leg lower.
Current Price 1.1480
Previous low at 1.1808
USD/JPY approaching the 76.25 low, daily RSI is oversold

Daily USD/JPY Chart
USD/JPY has sold of towards and is reversing just ahead of the 76.25 February low. Ideally we would expect to see this hold the initial test, the Elliott wave count tells us this is the end of the move, the daily RSI is oversold and we should see 76.25 hold. Minor resistance is found at 78.45/55 and between the May and June lows and the 61.8% Fibonacci retracement at 79.57/88 and around the psychological 80.00 mark and the market will need to regain this in order to alleviate immediate downside pressure. Below 76.25 targets 75.50 then 75.00.
Current Price: 77.45
RSI is oversold at 16
One to go on the radar - USD-JPY and US2Y swap Vs JY 2Y swap
Correlation with the USD/JPY and the US-JY 2 year swap broke down at the beginning of July. We look for these markets to mean revert and expect to see USD/JPY bounce
10
Emerging FX
The Russian Rouble and Turkish Lira
The rouble basket has broken down from its five month 33.99-33.04 trading range. This is very negative price action, if we utilise the range as a measurement lower, this offers a downside measured target to approx 32.10.We have minor support at 32.50 (may offer some psychological support), however this is likely to now only offer temporary respite. Overhead the previous range above 33.04 offers a dense overhead obstacle, and this is reinforced by the 55 day ma at 33.41 while capped here the outlook is bearish.
TRY Basket weekly
Market has failed at 8 year resistance line implies the USD/TRY and EUR/TRY markets have topped.
Rouble Basket Daily
11
Fixed Income
12
Bund
Bid above 128.25, target 131.60.
September Bund Futures Daily Chart
The market sold off to, tested and recovered off critical support in the 126.52/50 region last week. This is the location of the 38.2% retracement of the move up, the 55 week moving average and the 2009 highs. Last weeks low was 126.39 and while above here, we maintain a neutral to positive upside bias. Initial support lied at 128.25 and maintains the near term upside bias. While we would allow for further upside probes, we target 130.00, then the130.91/131.60 recent high and 78.6% retracement of the move down from 2010. We would expect this to provoke some profit taking and would allow for 131.60 to hold the initial test. Above 131.60 resistance lies at 132.36 ahead of 134.73/77. Below 128.25 would signal a retest of the 126.50/39 region. Only a weekly close below 126.52, or a daily close below 126.39, would be regarded as negative and signal a slide back to the 125.22/14 July low and 38.2% retracement en route to 123.78. 38.2% retracement at 126.50
13
Bund weekly chart

Allow for further upside probes while above 126.52
Bund Futures Weekly Continuation Chart
78.6% retracement at 131.60
Inter-year pivot at 126.52
14
EU 2-10 swap curve

Ranging
EU 2-10Y Swap Curve Daily Chart
The EU 2-10 swap curve despite remains completely range bound. The market remains capped by the 1.30/1.33 area of resistance and the near term risk is that the market eases lower in its range, the base of which currently lies at 1.1177. Interim support lies at 1.20/18. However key support is the support line, which connects all the lows since August 2010 and we suspect that the market is attempting to base short term at this zone. If tested we again look for this to hold (1.1177). Directly above the market lies the April high and 55 day ma at 1.33 and only a move above here will initiate any widening at this point. Above 1.33 would see an extension to 1.36 then 1.40/1.4150 where we would again expect to see failure. Longer term we maintain that this is part of a major top developing, but this will only complete below 1.0550 and target 1.00/1.02 en route to 0.70. While capped by 1.33, our short to medium term (1-3 months) bias remains neutral to narrowing.. Support line at 1.1177
Top of range at 1.30/33
EU 2-5Y swap curve

Market has not maintained break of 7 month downtrend and is back under pressure
EU 2-5Y Swap Curve Daily Chart
The EU 2-5 swap failed to make any lasting impression on the 7 month downtrend, but not sustained the break. We have recently seen a massive spike down to 53 and recovery. While we acknowledge that this spike low was exhaustive, while capped by the 65.40 recent high to our bias is neutral to negative. We suspect that this will cap to consolidate sideways near term. For now we will neutralise our outlook , we would allow for failure and a slide back to 57. The market has shown a reluctance to break down presently and we would allow for some consolidation ahead of further losses to the 48 2010 lows.
Downtrend has seen a small erosion
240 mins Market ranging but under pressure in the range
16
EU 10Y Asset Spread

Massive acceleration higher, has 69.00/70.00 in its sights.
EU 10Y Asset Swap Daily Chart
Support at 55, then top of channel at 47.60. Target 0.69, 78.6% retracement.
17
Spain 10Y Yield

Under pinned by the 55 day ma at 5.60 keeping pressure on the topside.
Spain VS Germany 10Y spread
Spain 10Y yield - Major base in evidence measures to 7.00. Initial target is the 38.2% retracement of the move down from 1995 this is located at 6.73. Market will maintain its bid tone, while above the 55 day ma at 5.60.
Has met initial target 353, next resistance is 417 the 78.6% retracement of the move down from 1995.
18
Italy 10Y yield
Pushing hard into 6% . Base complete. It measures to 7.33
19
US 10Y T-Notes
Eyes the 2009-11 resistance line at 126-30
US 10Y T-Notes Weekly Continuation Chart
While the market is under pinned by the April to July uptrend and 55 day ma at 123-17/11 an upside bias remains. The market is probing this years continuation high at 125-265 and the 78.6% retracement of the move down from 2010. Should this be convincingly surpassed, the 2008-2011 resistance line at 126-30 will then become the next upside target, together with the 128-01 2010 peak. Only below 123-11 would we question this bullish stance, and allow for losses to the 122-00/121-22 zone. More important resistance line at 123-30
20
US 2-10Y Swap Curve

Eroding major support at 2.35/2.36 (2008-2011 uptrend), maintain narrowing bias.
US 2-10Y Swap Curve Daily Chart
The US 2-10Y swap curve has started to erode the June low and 2008-2011 uptrend at 2.3570. A conclusive break below here is required in order to signal the resumption of its medium term narrowing bias. A fall through it will lead to the 50% retracement of the 2010-to-2011 advance at 2.305 being in focus. Here the swap curve should stabilise, though, at least temporarily. If not, the next lower 61.8% Fibonacci retracement at 2.185 will be on the map. Resistance between the 55- and 200-day moving averages at 2.4740/2.515 as well as along the 2011 resistance line at 2.58 will ideally cap the market. While trading below the next higher 2.59 June peak, our longer term narrowing bias will remain in place, though.
The 2008-2011 uptrend at 2.3570 is being eroded
21
US 2-5Y Swap Curve

Support in the 1.10 area has been eroded
US 2-5Y Swap Curve Daily Chart
The US 2-5Y swap curve has eroded the 61.8% Fibonacci retracement of the 2010-11 widening phase at 1.105 and the June 1.10 low. While capped by 1.20 the markets immediate focus and pressure will remain on the downside. Minor resistance above this level is seen around the and 55 day moving average at 1.223, the 200 day moving average at 1.284 as well as at the 38.2% Fibonacci retracement at 1.285. While trading below the June 2010 peak at 1.335 our medium term narrowing bias will remain in place, though. Target is the 1.00 level, where the November 2010 low was made, the 78.6% retracement of the move from October 2010 at 0.98 and the 2008-2011 uptrend at .9615.
61.8% Fibonacci retracement at 1.105
22
JY 2-10Y Swap Curve

Attention remains on the 61.8% Fibonacci retracement at .714
JY 2-10Y Swap Curve Daily Chart The Japanese 2-10Y swap curves attention remains on the 61.8% Fibonacci retracement of the 2010-11 steepening phase at .714. This is exposed, failure here targets the 78.6% Fibonacci retracement at .64/62.60 (2008-2011 support line) will be targeted and eventually the .555/.545 support area, consisting of the August and October 2010 lows. We will maintain this forecast as long as the current July peak at .8157 is not being exceeded. Resistance above the .74 June low is seen between the 50% retracement at .766 and the .78 pivot (May and December 2010 low). This is reinforced by the 55 day moving average at .781.
61.8% retracement is at .714
23
GBP 2-10Y Swap Curve

New lows for the year, target 1.81/1.79 then 1.69
GBP 2-10Y Swap Curve Daily Chart
The GBP 2-10Y swap curve narrowed further and have eroded 1.87/1.86. This was key support for the market, not only did it represent this years low but also the 61.8% retracement of the move 20102011. Failure targets 1.81/79, this is regarded as the last defence for the 1.69 2010 low. Rallies will find initial resistance at 1.87 then 1.91/1.92 May low and should now be capped by the 1.9771 55 day ma.
Support at 1.8729/1.86 eroded
24
Commodities
25
Spot Gold
Expected to consolidate at 1628.84/1639 resistance band, maintain positive bias.
Spot Gold Daily Chart
Spot gold has reached its next target zone, namely 1628.84/1639 resistance area, consisting of the 61.8% Fibonacci extension of this years advance, projected higher from the May low, and the upper 2010-11 uptrend channel resistance line. While this is likely to hold the initial test. Dips are expected to find good nearby support at 1577.60, the May high and while above here the market will remain immediately bid. Further support is offered along the breached May-to-July resistance line at 1546, together with the 55 day moving average at 1535 and at this years support line at 1503. Above it we will stay bullish. Above 1635 lurks the two vertical 15x3 Point & Figure targets at 1680 and 1700, the latter of which is psychological resistance and represents our medium term upside target. Still further up lurks the 100% Fibonacci extension at 1731.90.
61.8% Fibonacci extension at 1628.84 holding
Support 1577.5&1546 1535&1503
Resistance 1628.8/1639 1680/1700
1-Week View
1-Month View
26
Nymex Light Crude Oil

Neutral to positive look for market to reattempt to gain a foot hold above 100.00.
NYMEX Light Crude Oil Daily Chart
Nymex Light Crude Oil has eroded the 55 day ma. The market has rebounded from its 55 week ma support, which lies at 90.70 this week, and while under pinned here the outlook is positive. It has failed on its initial test of 100.00 , however should continue to probe the topside. We look for the market to tackle key short term resistance 103.39 31st May high. We suspect that the market will struggle to gain a foothold above here on the initial test and will remain some what sidelined very near term. Above 103.39 is needed to restore upside pressure and target 110 and then 114.80/117, where we would expect the market to again fail. Failure to hold 90.70/55 week ma will target the 83.89/44 zone, this is the 200 week ma and the 38.2% retracement of the move higher over the past 2 years. Favoured long term scenario. While underpinned by the 55 week ma the market is neutral to bullish market will have another attempt on the topside but is not expected to sustain a move much beyond the highs already seen.
200 day ma at 94.87
27
ITRAXX 5Y Crossover
Stabilising at the 410/03 support area, favour move higher
ITRAXX 5Y Daily Chart
The ITRAXX 5Y Crossover index has sold off towards and is stabilising at the 200 day ma support at 410. This together with the 55 day ma at 403 is expected to under pin the market. While above here it remains well placed to retest the seven month high at 459.13. Below 403 would target the 384.21/383.31 region, made up of the current July low and the 2010 trough. Failure here will mean that the index is heading back towards this years lows at 352.03. As long as the current July low at 384.21 underpins, though, there still remains the possibility of the index rising again. Above the current July high at 459.13 being bettered, the 50% retracement at 490.62, together with the psychological 500 area, will be in focus.
Under pinned support at 410/03 = 55 and 200 day moving averages
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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
29
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.
30
Other technical analysis reports we publish are:

Monday: Tuesday: Wednesday: Thursday: Friday: Daily Market Technicals (FX), FX Emerging Markets Weekly Technicals; Daily Market Technicals (FX), Bullion Weekly Technicals; Daily Market Technicals (FX), Commodity Currencies Weekly Technicals; Daily Market Technicals (FX), Commodity Weekly Technicals; Daily Market Technicals (FX), Fixed Income Weekly Technicals.
Disclaimer
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Disclaimer (contd.)
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Tel: + 65 63110000
33
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

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

US Dollar Index - weekly chart

EUR/USD upside bias remains

EUR/USD - weekly chart

EUR/CHF in new lows

Previous low at 1.1808

USD/JPY approaching the 76.25 low, daily RSI is oversold

One to go on the radar - USD-JPY and US2Y swap Vs JY 2Y swap

TRY Basket weekly

Rouble Basket Daily

Bund weekly chart

Inter-year pivot at 126.52

EU 2-10 swap curve

Top of range at 1.30/33

EU 2-5Y swap curve

Downtrend has seen a small erosion

240 mins Market ranging but under pressure in the range

EU 10Y Asset Spread

Spain 10Y Yield

Italy 10Y yield

Pushing hard into 6% . Base complete. It measures to 7.33

US 2-10Y Swap Curve

The 2008-2011 uptrend at 2.3570 is being eroded

US 2-5Y Swap Curve

61.8% Fibonacci retracement at 1.105

JY 2-10Y Swap Curve

61.8% retracement is at .714

GBP 2-10Y Swap Curve

Support at 1.8729/1.86 eroded

61.8% Fibonacci extension at 1628.84 holding

Support 1577.5&1546 1535&1503

Resistance 1628.8/1639 1680/1700

Nymex Light Crude Oil

200 day ma at 94.87

Under pinned support at 410/03 = 55 and 200 day moving averages

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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