Saturday, July 17, 2010

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USD/CHF (1.0472) fell overnight, and spot has broken below 1.05 and traded a low since Apr.

Trend: daily higher; weekly lower.
Overbought/Oversold (stochastics): Daily oversold; Weekly neutral.
Support/Resistance levels: Resistance lies at 1.0676 (Jul12 high) and 1.1742 (Apr’09 high), while support lies at 1.0456 (Jul15 low) and 1.0435 (Apr1 low).


The CFTC non-commercial net position moderated to -7K, but it remains among the lowest readings since 2007 and suggestive of USD/CHF weakness.
The risk reversal (3m, 25delta) rose overnight despite the fall in spot. It remains near its low since Oct’09. This market segment has abandoned its bullish USD/CHF call, but the skew is very close to a six-month low, suggesting potential for a rally in spot.
Implied Vol (3mo) is down overnight and cannot seem to escape the vicinity of multi-year lows.

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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