PRICE TREND / RANGE TABLE
-PriceRank is the percentile rank of the last daily close compared most recent 250, 60 and 20 daily closes (100=highest close and 0 = lowest close)
-Range is the difference in pips of highest high – lowest low over X days (250, 60, 20) – for example, a range of 500 under the 20 days column means that the highest 20 day high – the lowest 20 day low = 500 pips
-Rank is the percentile rank of the range over X days (250, 60, 20) – for example, a rank of 100 under the 20 day column means that the range over the last 20 days is the highest it has been in 20 days
-ATR % is the 20 day ATR expressed as a %
-Rank is the percentile rank of ATR% over the last 20 days
*The following 4 charts are updated from last week. It’s important to keep these ideas and their implications fresh in our minds.
Yen Futures (black on top) / 10 Yr US Treasury Note Futures (green on bottom)
Weekly
Jamie – A new high in the 10 year (the entire treasury complex) is most likely not going to be coincident with a new high in Yen (new low in USDJPY). This divergence will help in timing the next USDJPY long (more on USDJPY pattern below). There is a new weekly closing high right now but the high (1/31 high) isn’t until 132’02.
AUDUSD and 3 Month Volatility
Weekly
Prepared by Jamie Saettele, CMT
Jamie – Red dots indicate when 3 month implied volatility has been 11.5% or lower. Notice that as the AUDUSD has declined from its late February high, volatility has NOT increased significantly. This dynamic leaves the current situation more similar to the decline from the 2008 top (financial crisis) rather than the decline from the April 2010 top (flash crash). A ‘real’ bear market begins with a gradual decline and evolves into a panic. A panic style decline right off of the top is not to be trusted.
EURUSD and 3 Month Volatility
Weekly
Jamie – 3 month implied volatility in the EURUSD just ticked up from its lowest level since August 2008, when price was in the early stages of its descent from 16000. The rally into the early April high was turned away by the trendline that extends off of the August and October tops.
EURUSD (April indicated by red dots)
Daily
Jamie – April has served as a pivot since 2008. Tops formed in 2008 and 2011 (was retested in 2008). Price declined in 2009 but into a secondary low. Price declined in 2010 and plunged into the June low. Price is declining in 2012. Structure at multiple degrees of trend (corrective rally from the January low and impulsive declines from the February and March highs) suggests that April 2012 may prove to be the most important and bearish pivot of all.
Dow Jones FXCM Dollar Index (Ticker: USDOLLAR)
Daily
Jamie – The Dow Jones FXCM Dollar Index (Ticker: USDOLLAR) has retraced yesterday’s decline and is back to its 20 day average. More importantly, the early month low of 9893 has held, which keeps pattern constructive from a seasonality perspective. Breaks above 10097 and 10134 are expected in the coming weeks. Daily RSI action is constructive, which continues to bounce from near 50 (a bullish characteristic).
Euro / US Dollar
Daily
Jamie – It finally appears that 13003 is on the verge of giving way. Doing so would shift focus to resistance from January at 12880. This level intersects channel support next late next week. Watch that level closely because a drop below the channel would be a ‘tell’ that the decline from 13379 is a 3rd wave rather than a C wave. On the other hand, a rebound from that level (or spike below and recovery) would favor the C wave interpretation. Subjectively, I favor the more bearish 3rd wave interpretation as per the volatility and ‘April pivot’ implications.
British Pound / US Dollar
Daily
Jamie –“The ‘reliable’ divergence with RSI on the daily (reliable in that RSI is not even close to 70) and last week’s key reversal (new 13 week high, close below prior close and large relative range) is suggestive of an important top.” The short term pattern can’t be much cleaner either; the decline from 16062 is in 5 waves and was followed by a corrective rally that failed at former support (4/2 low) and the 61.8% retracement. Look lower towards 15770 and the 100% extension at 15727. The 100% extension intersects channel support on Tuesday. The implications regarding the channel are the same for the GBPUSD as for the EURUSD (a break under would be a ‘tell’ that a 3rd wave is underway).
Australian Dollar / US Dollar
Daily
Jamie – “From a risk standpoint, 10464 is the bearish line in the sand for me. Exceeding that level would shift focus to former supports at 10509 and 10597.” Thursday’s advance failed just before 10464 and at the underside of former trendline support and channel resistance. 10145-10386 is the opening range for the year (first 2 weeks) and a break of the early year range would open up the floodgates towards 9860 and 9660.
US Dollar / Japanese Yen
Daily Bars
Jamie – Price is holding the March low (8058) but that’s it. In the event of a more substantial bounce, resistance comes in from former supports at 8154 and 8196. A bounce of that magnitude would offer a chance to short against the April high of 8330. The October 2011 intervention high at 7953 is an objective.
Australian Dollar / New Zealand Dollar
Weekly
A long term view of the AUDNZD reveals the potential vulnerability of the AUD in general. A drop under 12315 would complete a 2 year topping process. Patterns of that length are significant. The 20 day average and Thursday’s high at 12666/75 is near term resistance.
PRICE TREND / RANGE TABLE
250 Days | 60 Days | 20 Days | |||||||||
Price Rank | Range | Rank | Price Rank | Range | Rank | Price Rank | Range | Rank | ATR % | Rank | |
AUDCAD | 53 | 868 | 0 | 24 | 600 | 68 | 68 | 337 | 11 | 0.73 | 42 |
AUDJPY | 60 | 1754 | 42 | 39 | 849 | 19 | 21 | 615 | 95 | 1.48 | 100 |
AUDNZD | 20 | 1386 | 4 | 10 | 528 | 95 | 32 | 358 | 42 | 0.53 | 0 |
AUDUSD | 44 | 1693 | 8 | 20 | 630 | 12 | 63 | 411 | 26 | 1.02 | 21 |
CADJPY | 63 | 1448 | 42 | 54 | 927 | 63 | 11 | 476 | 58 | 1.38 | 89 |
CHFJPY | 49 | 2869 | 73 | 49 | 1037 | 39 | 11 | 465 | 37 | 1.28 | 95 |
EURAUD | 22 | 2128 | 77 | 73 | 758 | 15 | 16 | 501 | 42 | 0.79 | 11 |
EURCAD | 13 | 1505 | 5 | 36 | 587 | 0 | 47 | 389 | 0 | 0.74 | 16 |
EURCHF | 20 | 2897 | 27 | 3 | 151 | 8 | 11 | 85 | 0 | 0.15 | 0 |
EURGBP | 4 | 862 | 38 | 8 | 279 | 14 | 26 | 169 | 42 | 0.52 | 0 |
EURJPY | 45 | 2480 | 72 | 47 | 1232 | 41 | 11 | 599 | 95 | 1.29 | 89 |
EURNZD | 7 | 3296 | 27 | 29 | 808 | 0 | 0 | 517 | 42 | 0.82 | 0 |
EURUSD | 23 | 2317 | 45 | 49 | 610 | 0 | 37 | 353 | 0 | 0.82 | 0 |
GBPAUD | 51 | 1832 | 43 | 81 | 947 | 31 | 42 | 605 | 21 | 0.82 | 42 |
GBPCHF | 88 | 3336 | 16 | 86 | 443 | 0 | 74 | 249 | 5 | 0.53 | 0 |
GBPJPY | 70 | 2021 | 41 | 56 | 1430 | 66 | 11 | 561 | 16 | 1.21 | 68 |
GBPUSD | 58 | 1513 | 54 | 95 | 613 | 0 | 84 | 369 | 0 | 0.65 | 0 |
NZDJPY | 84 | 1210 | 13 | 56 | 737 | 19 | 26 | 354 | 21 | 1.49 | 63 |
NZDUSD | 75 | 1473 | 11 | 63 | 475 | 0 | 100 | 230 | 0 | 1.03 | 0 |
USDCAD | 49 | 1252 | 35 | 32 | 320 | 0 | 42 | 192 | 63 | 0.71 | 100 |
USDCHF | 62 | 2528 | 8 | 27 | 448 | 0 | 42 | 253 | 0 | 0.82 | 0 |
USDJPY | 79 | 861 | 0 | 49 | 815 | 66 | 11 | 352 | 21 | 1.06 | 63 |
-PriceRank is the percentile rank of the last daily close compared most recent 250, 60 and 20 daily closes (100=highest close and 0 = lowest close)
-Range is the difference in pips of highest high – lowest low over X days (250, 60, 20) – for example, a range of 500 under the 20 days column means that the highest 20 day high – the lowest 20 day low = 500 pips
-Rank is the percentile rank of the range over X days (250, 60, 20) – for example, a rank of 100 under the 20 day column means that the range over the last 20 days is the highest it has been in 20 days
-ATR % is the 20 day ATR expressed as a %
-Rank is the percentile rank of ATR% over the last 20 days
*The following 4 charts are updated from last week. It’s important to keep these ideas and their implications fresh in our minds.
Yen Futures (black on top) / 10 Yr US Treasury Note Futures (green on bottom)
Weekly
Jamie – A new high in the 10 year (the entire treasury complex) is most likely not going to be coincident with a new high in Yen (new low in USDJPY). This divergence will help in timing the next USDJPY long (more on USDJPY pattern below). There is a new weekly closing high right now but the high (1/31 high) isn’t until 132’02.
AUDUSD and 3 Month Volatility
Weekly
Prepared by Jamie Saettele, CMT Jamie – Red dots indicate when 3 month implied volatility has been 11.5% or lower. Notice that as the AUDUSD has declined from its late February high, volatility has NOT increased significantly. This dynamic leaves the current situation more similar to the decline from the 2008 top (financial crisis) rather than the decline from the April 2010 top (flash crash). A ‘real’ bear market begins with a gradual decline and evolves into a panic. A panic style decline right off of the top is not to be trusted.
EURUSD and 3 Month Volatility
Weekly
Jamie – 3 month implied volatility in the EURUSD just ticked up from its lowest level since August 2008, when price was in the early stages of its descent from 16000. The rally into the early April high was turned away by the trendline that extends off of the August and October tops.
EURUSD (April indicated by red dots)
Daily
Jamie – April has served as a pivot since 2008. Tops formed in 2008 and 2011 (was retested in 2008). Price declined in 2009 but into a secondary low. Price declined in 2010 and plunged into the June low. Price is declining in 2012. Structure at multiple degrees of trend (corrective rally from the January low and impulsive declines from the February and March highs) suggests that April 2012 may prove to be the most important and bearish pivot of all.
Dow Jones FXCM Dollar Index (Ticker: USDOLLAR)
Daily
Jamie – The Dow Jones FXCM Dollar Index (Ticker: USDOLLAR) has retraced yesterday’s decline and is back to its 20 day average. More importantly, the early month low of 9893 has held, which keeps pattern constructive from a seasonality perspective. Breaks above 10097 and 10134 are expected in the coming weeks. Daily RSI action is constructive, which continues to bounce from near 50 (a bullish characteristic).
Euro / US Dollar
Daily
Jamie – It finally appears that 13003 is on the verge of giving way. Doing so would shift focus to resistance from January at 12880. This level intersects channel support next late next week. Watch that level closely because a drop below the channel would be a ‘tell’ that the decline from 13379 is a 3rd wave rather than a C wave. On the other hand, a rebound from that level (or spike below and recovery) would favor the C wave interpretation. Subjectively, I favor the more bearish 3rd wave interpretation as per the volatility and ‘April pivot’ implications.
British Pound / US Dollar
Daily
Jamie –“The ‘reliable’ divergence with RSI on the daily (reliable in that RSI is not even close to 70) and last week’s key reversal (new 13 week high, close below prior close and large relative range) is suggestive of an important top.” The short term pattern can’t be much cleaner either; the decline from 16062 is in 5 waves and was followed by a corrective rally that failed at former support (4/2 low) and the 61.8% retracement. Look lower towards 15770 and the 100% extension at 15727. The 100% extension intersects channel support on Tuesday. The implications regarding the channel are the same for the GBPUSD as for the EURUSD (a break under would be a ‘tell’ that a 3rd wave is underway).
Australian Dollar / US Dollar
Daily
Jamie – “From a risk standpoint, 10464 is the bearish line in the sand for me. Exceeding that level would shift focus to former supports at 10509 and 10597.” Thursday’s advance failed just before 10464 and at the underside of former trendline support and channel resistance. 10145-10386 is the opening range for the year (first 2 weeks) and a break of the early year range would open up the floodgates towards 9860 and 9660.
US Dollar / Japanese Yen
Daily Bars
Jamie – Price is holding the March low (8058) but that’s it. In the event of a more substantial bounce, resistance comes in from former supports at 8154 and 8196. A bounce of that magnitude would offer a chance to short against the April high of 8330. The October 2011 intervention high at 7953 is an objective.
Australian Dollar / New Zealand Dollar
Weekly
A long term view of the AUDNZD reveals the potential vulnerability of the AUD in general. A drop under 12315 would complete a 2 year topping process. Patterns of that length are significant. The 20 day average and Thursday’s high at 12666/75 is near term resistance.
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