Friday, September 3, 2010

USD/CHF. Consolidating

USD/CHF (1.0147) is up slightly overnight on positive general market sentiment.

Technicals:

  • Trend: daily lower; weekly lower.

  • Overbought/Oversold (stochastics): Daily oversold; Weekly oversold.

  • Support/Resistance levels: Resistance lies at 1.0641 (Jul27 high), 1.0676 (Jul12 high) and 1.1742 (Apr’09 high), while support lies at 1.0065 (Sep1 low) and 0.9918 (Dec low).

Positioning:

  • The risk reversal (3m, 25delta) bounced overnight with the rise in spot. The skew is extreme, suggesting potential for a rally in spot.

  • Implied Vol (3mo) slipped overnight from a high since Jun. Vol remains in the middle of its six-month range.

Cross-asset valuation: USD/CHF has correlated mostly strongly during the past 60 days with EUR/USD (negative) and the USD index (positive).

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