Cross Asset Technical Vista June, 2015 Markets and Products Analysis INVESTMENT PORTOFOLIO ANALYSIS DIVISION Important Disclaimer in page 2 1
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10/11 12/11 2/12 4/12 6/12 8/12 10/12 12/12 2/13 4/13 6/13 8/13 10/13 12/13 2/14 4/14 6/14 8/14 10/14 12/14 2/15 4/15 6/15 10/11 12/11 2/12 4/12 6/12 8/12 10/12 12/12 2/13 4/13 6/13 8/13 10/13 12/13 2/14 4/14 6/14 8/14 10/14 12/14 2/15 4/15 6/15 Risk Sentiment Eurozone Risk Sentiment Index US Risk Sentiment Index 0.55 Risk Appetite 0.55 Risk Appetite 0.45 0.45 0.35 0.35 0.25 0.25 0.15 0.15 0.05 0.05-0.05-0.05-0.15-0.15-0.25-0.25-0.35-0.35-0.45-0.45-0.55-0.65 Risk Aversion -0.55-0.65 Risk Aversion Source: Bloomberg, Markets and Products Analysis Risk off sentiment is evident in the Eurozone. The increase of Eurozone government bond yields has been negative for risk taking. Greek issue remains undecided. In the short term, event risk for Eurozone stock markets is high (both to the downside & to the upside), linked with the evolution of the Greek issue. US stock market is consolidating and probably entering corrective mood. The stronger likelihood that the Fed will hike the benchmark rate in September, has contributed to some profit taking in US market. Monetary easing bias by some major Central Banks, may be supportive for risk sentiment in the future. 3
-1 Significant Significant Correlation Matrix 60 Days (Percentage Change) Correlation Matrix Equity Index Commodities Risk Aversion Index S&P 500 Euro Stoxx 50 MSCI AC World CRB GOLD WTI RA EU RA US Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m DXY 0.1001-0.2144 0.2999 0.3387-0.1607-0.3701-0.4612-0.5164-0.3435-0.3672-0.2404-0.4050-0.2631-0.0963-0.2121 0.1276 EUR/USD -0.1155 0.2664-0.3200-0.3236 0.1216 0.3798 0.3945 0.4802 0.2819 0.3389 0.1780 0.3770 0.3140 0.0754 0.2161-0.1644 USD/JPY -0.0079-0.0505 0.0745 0.2567-0.2555-0.1814-0.4158-0.4103-0.4695-0.5097-0.2321-0.3395-0.2841-0.0662-0.1253 0.0964 GBP/USD 0.0020 0.2554-0.1287-0.1675 0.2440 0.3577 0.3394 0.3837 0.2499 0.3197 0.1658 0.2935 0.1511-0.0766 0.0822-0.1733 USD/CHF 0.2067-0.0744 0.3782 0.3266 0.0296-0.2406-0.3942-0.4649-0.3390-0.4152-0.2024-0.3356-0.2274-0.1236-0.2429 0.1486 EUR/CHF 0.1678 0.2157 0.0694 0.0076 0.2875 0.2578 0.0579 0.0389-0.0573-0.1283-0.0050 0.0822 0.1634-0.0888-0.0433-0.0450 EUR/GBP -0.1296 0.1114-0.2617-0.2638-0.0556 0.1593 0.1786 0.2619 0.1187 0.1353 0.0680 0.2117 0.2359 0.1668 0.1785-0.0560 EUR/JPY -0.1496 0.3128-0.3516-0.2742-0.0258 0.3891 0.2018 0.3986 0.0167 0.1744 0.0547 0.3032 0.1908 0.0570 0.1777-0.1651 Bund Fut. 0.0450 0.0739 0.0678 0.2548-0.0144 0.1189-0.2789-0.0819-0.0435 0.1023-0.1801-0.1282-0.3943-0.1980-0.3178-0.3962 2Y US 10Y US Government Bonds (Change) 2Y GE 10Y GE 2Y UK 10Y UK 2Y JN 10Y JN Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m DXY 0.3148 0.3479 0.0043 0.2001-0.3350-0.1871-0.4166-0.2284-0.1025 0.0215-0.1961-0.0455-0.0121 0.0436-0.0085 0.1607 EUR/USD -0.2137-0.3952 0.0529-0.2390 0.3982 0.1534 0.4821 0.1905 0.0837-0.0739 0.1948-0.0012 0.0118-0.0720 0.0028-0.1993 USD/JPY 0.2880 0.4772 0.0316 0.3785-0.0642 0.1474-0.2073 0.1222-0.0074 0.2670-0.0487 0.1539-0.0370 0.0965-0.0468 0.2337 GBP/USD -0.3779-0.4876-0.0785-0.3141 0.1219-0.0473 0.2367-0.0716 0.2199-0.0451 0.1949 0.0318-0.0362-0.1170-0.0003-0.1419 USD/CHF 0.3187 0.3941 0.0938 0.2726-0.3281-0.0415-0.3068-0.1311 0.0646 0.1707-0.0893 0.0498-0.0404-0.0048-0.0267 0.1648 EUR/CHF 0.1277-0.0059 0.2320 0.0520 0.1560 0.1994 0.3258 0.0988 0.2463 0.1644 0.1884 0.0774-0.0696-0.1478-0.0449-0.0587 EUR/GBP 0.0566-0.0557 0.1271-0.0157 0.3672 0.2578 0.3621 0.3214-0.0865-0.0588 0.0634-0.0372 0.0430 0.0210 0.0069-0.1210 EUR/JPY -0.0671-0.2635 0.0883-0.1162 0.4633 0.2620 0.4646 0.2924 0.0992 0.0366 0.2115 0.0710-0.0110-0.0404-0.0281-0.1282 Bund Fut. -0.2457-0.1352-0.5207-0.2686-0.6138-0.5035-0.9475-0.7178-0.4767-0.3304-0.6857-0.4921-0.0191-0.0898-0.1484-0.2585 negative correlation 1 positive correlation EUR/USD is positively correlated with German 10-year government bond yield. EUR/USD is negatively correlated with Eurozone stock markets. USD/JPY exhibits positive correlation with US 2-year government bond yield. Commodities index remains strongly negatively correlated with DXY. Source: Markets and Products Analysis, Bloomberg 4
Technical Analysis Matrix FX Equity Indexes Commodities Gov Bonds Asset Class Weekly % Monthly % Asset Classes Technical Analysis Matrix % Year to Date Monthly Trend Upper Lower MACD Signal (Daily) Overbought/ Oversold Singal (Daily) MA's crossover signal 3-Month Trend EUR/USD -0.53-0.45-6.89 Range Trading 1.1431 1.0839 Up Signal No Signal Up Downtrend GBP/USD 0.72-0.07 0.42 Range Trading 1.5706 1.5175 Up Signal No Signal Up Uptrend EUR/GBP -1.26-0.38-7.83 Range Trading 0.7388 0.7035 Down Signal No Signal Down Downtrend USD/JPY -0.81-2.98-3.15 Uptrend Down Signal No Signal Up Uptrend EUR/JPY 0.27 2.56-3.98 Uptrend Down Signal No Signal Up Uptrend USD/CHF 0.79 0.23 7.58 Range Trading 0.9519 0.9218 Down Signal No Signal Down Downtrend EUR/CHF -1.34-0.69-15.56 Range Trading 1.0563 1.0299 Up Signal No Signal Up Downtrend Germany Dax -2.11-3.66 12.47 Downtrend Down Signal No Signal Down Range Trading Stoxx Europe 600-1.60-3.00 12.26 Downtrend Down Signal No Signal Down Range Trading US S&P 500 0.78-1.25 1.82 Downtrend Down Signal No Signal Up Range Trading US Nasdaq 0.83 0.14 6.75 Range Trading 5,118 5,017 Down Signal No Signal Up Range Trading Japan Nikkei 0.86 2.46 15.86 Range Trading 20,699 20,035 Down Signal No Signal Up Uptrend HK Hang Seng 0.50-3.60 13.62 Range Trading 28,265 26,567 Down Signal No Signal Up Uptrend China Shanghai Composite -2.71 15.30 53.58 Downtrend Down Signal No Signal Up Uptrend UK FTSE 100-1.84-3.68 2.11 Downtrend Down Signal Oversold Down Range Trading NYMEX WTI Crude -2.15 0.70 12.84 Range Trading 61.84 57.00 Down Signal No Signal Up Downtrend ICE Brent Crude -2.94-4.55 11.23 Range Trading 66.80 61.63 Down Signal No Signal Up Downtrend Spot Gold -0.52-3.59-0.41 Range Trading 1,211 1,167 Down Signal No Signal Down Range Trading LME 3M Copper -3.60-10.37-8.73 Downtrend Down Signal Oversold Down Downtrend LME 3M Aluminium -2.46-7.88-7.85 Downtrend Down Signal Oversold Down Downtrend 10Y Bund Future 1.66-1.37-2.84 Downtrend Up Signal No Signal Down Downtrend 10Y Gilt Future 0.85-0.61-2.23 Range Trading 118.70 115.37 Up Signal No Signal Down Downtrend 10Y Treasury Future 0.88-1.12-0.16 Downtrend Up Signal No Signal Down Range Trading Source: Markets and Products Analysis, Bloomberg 5
*Trend this month Trend Mapping 3 2.5 Reversing Up Trending Up 2 1.5 1 0.5 0-0.5-1 -1.5-2 -2.5 German 10-Year Bund US 10-Year Treasury Shanghai Comp FTSE 100 Hang Seng EUR/GBP USD/CHF Dax Eurostox600 WTI Nikkei EUR/CHF 3m Copper GBP/USD EUR/JPY EUR/USD USD/JPY RTS Index Gold S&P 500 Trending Down -3 Reversing Down -3-2.5-2 -1.5-1 -0.5 0 0.5 1 1.5 2 2.5 3 *Trend prior 1-Month Upside bias for GBP/USD, EUR/USD and EUR/JPY is still in place. Major European equity indexes remain in downwards trend. S&P 500 index is reversing downwards in the short term. USD/JPY has broken upwards the tight range trading mode observed until end-may. *Standardized divergence from 21-day moving average this month vs prior 1-month. Source: Markets & Products Analysis, Bloomberg, 6
S&P 500 S&P 500 index posted historic high (intraday: 2,134.7) on May 20. The index is currently lower versus the historic high by almost 1.8% at 2,096 level. Daily trend indicators (MACD, ADX/DMI) suggest that the index is probably entering correction phase in the short term. Support for the index at the area of 2,072 (9/6/15 low), at the area of 2,048 (200 days MA) and at 2,015 (Fibonacci retracement 38.2%: 1,820.7-2,134.7). Looking at the weekly chart, the index appears in range trading for the 3-month horizon. The lower bound of the weekly Bollinger Bands is at the area of 2,030, while the upper bound is placed at the area of 2,150. Despite short term correction and mid term range trading, long term upwards trend may have not reversed, as suggested by monthly trend indicators (ADX, DMI). 7
DAX DAX index is currently at almost 11% lower versus the historic high of 10/4/15. Trend indicators with daily data suggest possible continuation of the corrective mood. No oversold conditions formed yet. Support is placed at the area of 10,500 (200 days MA), at the area of 10,370 (retracement 50%: 8,355-12,390) and at the area of 9,897 (Fibonacci retracement 61.8%: 8,355-12,390 and 20% lower from the high of 10/4/15). In case, the support area of 10,370-10,500 holds, the index can resume upwards trend in the long term, as suggested by monthly data trend indicators. Resistance at the area of 12,390 (historic high). 8
Nikkei Nikkei index is trending upwards in the mid-term (3-month time horizon), as suggested by weekly trend indicators. Resistance is placed at the area of 20,655 (high of 28/5/15) and at 20,833.2 (12/4/2000 high). In case, some consolidation takes place in the short term, support for the index is placed at the area of 19,930 (55 days MA and 19/5/15 low) and at 19,468 (12/5/15 low). In the mid to long term, resistance is placed at the area of 22,485 (Fibonacci retracement 76.4%: 27,270.33-6,994.9). 9
EUR/USD EUR/USD is into range trading mode ($1.08 - $1.15) in the short term. Daily MACD signal and daily MA s crossover signal (21 vs. 55 DMA) indicate possible upwards move in the short term. Significant resistance for the euro at the area of $1.1500 (50% retracement: $1.2570 - $1.0458 and 15/5/15 high) and at $1.1720 (200 DMA). Support is placed at the area of $1.1000 (short term support trend line) and at $1.0800 (27/5/15 low and 61.8% Fibonacci retracement: $1.0458 - $1.1467). In the medium term downwards trend remains intact. Significant support in medium term is found at the area of $1.00 (76.4% Fibonacci retracement: $0.8230-$1.6038 and support downwards trend channel). 10
USD/JPY and EUR/JPY Looking at the weekly chart, USD/JPY is probably trending higher, with no overbought conditions formed yet. Resistance is placed at the area of 125.86 (5/6/15 high), at 126.21 (20/5/02 high) and at 128.19 (17/5/02 high). Support is found at the area of 120.60-121.00 (low of 20/5/15, 22/5/15 and 55 days MA) and at 119.83 (19/5/15 low). EUR/JPY is now consolidating, after breaking the 200 days MA to the upside on June 2. Resistance for EUR/JPY is placed at the area of 140.75 (Fibonacci retracement 61.8%: 149.78-126.10) and at 142.78 (6/1/15 high). Further resistance at 144.19 (Fibonacci retracement 76.4%: 149.78-126.10). Support is placed at the area of 137.29 (200 days MA) and at the area of 134.76 (28/5/15 low). 11
German 10-Year Government Bond Yield German 10-Year government bond yield is reacting upwards after registering new historic low (0.05%) on April 17. Strong medium term downwards trend seems to be over. Significant resistance levels are found at the area of 1.07% (10/6/15 high & 50% retracement: 2.09% - 0.05%) and at 1.31% (61.8% Fibonacci retracement: 2.09% - 0.05%). In the short term some negative bias is identified, mainly due to profit taking. Support is placed at the area of 0.60% (200 DMA) and at 0.474% (1/6/15 low). 12
Spot Gold Spot gold price is into consolidation mode ($1,160 - $1,220). Some bias to the downside is observed in the short term, as 21-DMA crossed downwards the 55-DMA in June 10. Significant support is placed at the area of $1,160/oz (5/6/15 low, medium term support trend line & lower 21-Day Bollinger band) and at $1,143/oz (17/3/15 low). Resistance is found at $1,207/oz (200 DMA) and at the area of $1,233/oz (18/5/15 high). In the medium term gold price is in range trading phase. 13
Contact 210-3282791 marketanalysis@alpha.gr Panos Remoundos Maria Koutouzi Ioannis Kouravelos, CFA Konstantinos Anathreptaκis panos.remoundos@alpha.gr maria.koutouzi@alpha.gr ioannis.kouravelos@alpha.gr konstantinos.anathreptakis@alpha.gr 14