WWM - Analytics


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    US FX Market open Wednesday, March 30, 2016:  NZD A FRONT RUNNER AFTER YELLEN



    Overnight Events

    • NZD/USD takes out key 0.6900 level to reach 0.6965 9-mth high
    • EUR/USD up 0.3% to 1.1333, GBP/USD up 0.1% to 1.4452
    • USD/JPY 112.02 low from 112.81 and 113.81 Tuesday
    • Brent 1.35%, DAX 1.5%, Gold -0.23%, DXY -0.3%
    • CH Mar KoF Ind. 102.5 vs 102.6 rvsd, 101.9 exp
    • EZ Mar Business Climate 0.11 vs 0.07 prev, 0.08 exp
    • EZ Mar Econ Sentiment 103.0 vs 103.8 prev, 103.8 exp
    • EZ Mar Ind. Sentiment -4.2 vs -4.4 prev, -4.2 exp
    • EZ Mar Cons. Confidence -9.7 vs -8.8 prev, -9.7 exp
    • NO Jan Labour Force Survey 4.8% vs 4.6% rvsd, 4.5% exp
    • China Pres. Econ at new normal shifting to moderate pace from high-Rtrs
    • ECB will not move to absurdly negative territory-Coeure tells Politico
    • UK Latest BMG poll-45% to leave, 41% to stay, 14% undecided
    • Japan-Abe to weigh implementing extra stimulus NHK-Bbg
    • Japan Feb Industrial Output -6.2% M/M - Meti (Reuters Poll: -6.0%)
    • Japan Manufacturers See March Output 3.9% m/m (Prev: 3.1% - Meti
    • Westpac / MNI China Consumer Sentiment (March) 118.1 (prior 111.3)

    • NZD/USD tripped stops above 0.6900 en route to 0.6965 during European am
    • 0.6965 = 9mth high. 0.6843-0.6884 was Asia range
    • AUD/NZD tripped stops below 1.11 en route to 1.1045 European am low
    • 1.1045 = 3wk low. 1.1107 = Asia low. 1.1108 was yesterday’s low

    Today’s events

    An expiring FX option heading into the New York Cut, if close enough to the strike price, can act as a magnet for selling/buying.  If the option is large, it can generate enough trading to move the market.  

    Option Expirations(Source:ThompsonReuters)

    • Better risk sentiment post Yellen and most spot markets still within ranges
    • Sees vols turn lower in many pairings, although event risk limits losses
    • NFP Friday/RBA Tues, make 1wk AUD attractive 14.1 vol/120 pips straddle
    • 1mth EUR/USD gets ECB and April FOMC to stall losses, though 2mth off 0.7
    • USD/JPY 1mth now 9.25 vs 10.0 Tues’, but will get FOMC/BoJ from tomorrow
    • Post Brexit GBP vols peak as extreme highs deemed too expensive
    • USD/CNH vols back under pressure – 1mth eyes lows since Aug deval at 5.0  

    Chart - EUR/USD test above 1.1400 favored (Source:ThompsonReuters)
    While EUR/USD is above the 10-day moving average at 1.1235, the risk is for a test above 1.1400. This would then see limited bull potential to 1.1470-80, just ahead of the 1.1495 high from Oct 15 2015. The price extends its reversal out of March 24 1.1144 low to 1.1333 today but EUR is over reaching, and with recent and year's highs close by at 1.1342 and 1.1377, a pullback is possible before moving higher. The daily cloud twist down at 1.1042-44 April 5 is also a fly in the bull ointment and although distant, could slow the EUR's advance. Weekly action is back inside the cloud and again eyes the 30-week moving average, currently 1.1463, and fits with the 1.1470 daily potential. Chart: https://reut.rs/1UTUjS5

    Economic Data(Source:Bloomberg)


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