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Technical Analysis Special

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Euribor – Short Sterling Sep 2012 spread

Thu, Nov 19 2009, 13:11 GMT
by Nicole Elliott

Mizuho Corporate Bank

Comment: For over two years now investors and the money market have been wearing rose-tinted spectacles, anticipating economic recovery by the summer, eagerly spotting more and more swallows. For this reason red and green contract months have had a tendency to rally as time marches on, and hopes are dashed. At the moment we see no reason to change this view and shall allow for rates to stay ultra-low for a very long time. (Investors ought to look at the chart of the front month Euroyen contract between 2001 and 2006 for what can happen in extremis.) Current futures contracts will therefore be dragged towards 100.00, the only question being which one moves faster and which gets closer. Since summer 2007 the spread above has traded around a mean at 84 basis points, holding within one standard deviation (46 and 121) most of the time. Having topped with an irregular ‘head-and-shoulders’ early August the spread should narrow to 50 basis points over the coming months. This is the measured target from the pattern and 61% Fibonacci retracement as well as the lower deviation.

A sustained break above 130 forces us to review.

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Published on  Thu, Nov 19 2009, 13:11 GMT

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ICE Coffee future

Wed, Jun 3 2009, 12:53 GMT
by Nicole Elliott

Mizuho Corporate Bank

Comment: The long term trend since 2002 has been to higher prices, admittedly a very gentle uptrend and nothing like the massive gyrations of the mid-1990’s. Last year’s clear-out takes the shape of an A, B, C-type correction which retraced half the previous gains, bouncing neatly from trendline support with a ‘double bottom’. The front month contract is currently testing pivotal resistance between 137.00 and 154.00 cents per pound. Weekly closes above both of these levels should see bullish momentum increase considerably for a rally to the February 2008 high at 169.60 and then beyond here to our measured target at 180.00/200.00.
A sustained break below 120.00 would force us to re-think.

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Published on  Wed, Jun 3 2009, 12:53 GMT

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CBT Soy Bean future

Wed, Apr 22 2009, 10:40 GMT
by Nicole Elliott

Mizuho Corporate Bank

Comment: Front month futures have been forming a base since October and are now set for a decent rally. Daily and weekly moving averages confirm this and last week’s close above 1050 completes a small ‘double/triple’ bottom. Interestingly, this formed against the 800/865 area, a level that had been resistance for many years up until 2008 and is one standard deviation from the mean since 1992. This week’s tiny pullback has sorted out the overbought situation, while Bean Oil and Meal charts have similar formations adding weight to our view. The measured target is 1220/1250 with consolidation likely at 1150 on the way up.

A weekly close below 945 would force us to review.

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Published on  Wed, Apr 22 2009, 10:40 GMT