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US FX Market Open – Friday, August 26, 2016: Forex in lock-down ahead of Yellen/data

Posted by Marge Maresca on Aug 26, 2016 7:34:51 AM

 

 yell3.png

Overnight Events

• GBP/USD +0.05%, EUR/USD +0.03%, USD/JPY -0.09%
• DXY -0.06%, DAX -0.2%, Brent -0.7%, Iron -2.5%,
• DE Sept GfK Cons/Sent 10.2 vs 10.0 prev, 9.9 exp
• FR Aug Cons/Sent 97 vs 96 prev
• EZ Jul M3 4.8% y/y vs 5.0% prev, 4.9% exp
• UK Q2 GDP 2nd read +0.6% q/q vs 0.6% prev, 0.6% exp
• UK Q2 GDP 2nd read +2.2% y/y vs 2.2% prev, 2.2% exp
• UK Q2 Bus. Inv. -0.8% y/y vs -0.8% prev, -1.4% exp
• Allianz El-Erian – No major policy statement at Jackson Hole
• El-Erian - Fed only game  in town for far too long-CNBC
• Fed officials stress risk of recession if it acts too slowly – MNI
• Japanese regulators consider allowing off-hours margin trading – Nikkei
• Lipper – Investors pull $6.4 bln from US-based stock funds latest week
• The great unravelling: Yrs of Fed missteps fuelled disillusion – Hilsenrath
• Japan housing market rare bright spot amid stalling growth – Rtrs

Currency Summaries

EUR/USD   
• 1.1280-1.1308 range, Support Tenkan 1.1272, Thur'/Wed' lows 1.1260/45
• 100/21DMA's below 1.1224/14. Wed/Tues' highs cap 1.1311/55
• Pair well within hourly cloud 1.1272-1.1300 for now. Awaits Yellen
• Low realised vols highlight tight spot - 1wk 3.95, 1mth 6.5
• Monday option break even 75 pips (UK hol expiry). 2.6bln 1.13 expiry Tues'

USD/JPY
• 1wk realised vol - measure of spot performance over previous week, just 2.5
• 1wk implied vol 13.0 (144 pips) by comparison, highlights Yellen/NFP risk
• Today's range just 100.39-59, weekly range 100.94-99.93 set Mon/Tue
• Hrly cloud support 100.27-42. Importer bids 100.00-99.70, barriers 99.50
• Exporter offers 101.00. Vols will suffer if range holds post Yellen
• Chart shows 1 week implied vs realised vol   http://tmsnrt.rs/2bFrPN2

USD/CHF
• EUR/CHF Decent Thurs gain to 1.0922 shy of Aug 10 1.0925 top
• Early Friday action smacks of mild position adjusting with drop to 1.09
• 200DMA at 1.0923, 100DMA at 1.0928, Upper 30DMA Bolli 1.0928
• USD/CHF looking to snap a five-day bull run but not yet convincing
• High of 0.9683 vs 0.9687 Thurs: 10/21 DMAs contain-0.9638-0.9694
• Yellen and U.S data key and in that order: Fed policy outlook the focus
• Scope for disappointment so USD vulnerable
• Chart:  http://reut.rs/2bFzsTW

GBP/USD  
• GBP/USD market clams up ahead of possibly over anticipated Yellen
• Tight action, 1.3186-1.3233, and direction lost just below 1.3273 week’s top
• Offers touted 1.3270 through 1.3300 and bids 1.3170-90 area
• Sterling picture looks more balanced, which could limit gains
• Little depth to the market so looks may be deceptive
• EUR/GBP equally tight, 0.8528-0.8557
• No sign of any month-end demand out of Fft but cross less bearish
• Chart: http://reut.rs/2bMs9am

USD/CAD  
• 1.2892-1.2922 today. Fell 1.2965-1.2859 Mon-Tues, recovery 1.2958 Wed'
• Daily cloud caps 1.2922-1.2978, thickens in Sept, top to upper 1.30's
• 100DMA remains pivotal 1.2925,10DMA props 1.2890, Tenkan-sen 1.2865
• Yellen awaited for USD direction, Oil consolidates middle of weeks range
• 1wk vol propped by Yellen/NFP - 9.1/130 pips, realised just 6.4 comparison

AUD/USD   
• AUD well within weeks 0.7584-0.7655 range - 0.7616-46 today
• Stagnation across the board as Yellen awaited for USD direction
• Kijun-sen props 0.7590/Tenkan-sen caps 0.7667
• Break of weeks range would target 0.7525 cloud top on the d/side
• Topside 19/18 August high's 0.7692/77.23
• Big expiries today reinforce range 0.7600 (540M), 0.7675 (720M)

NZD/USD
• 0.7299-0.7326 today, 0.7287-0.7336 Thurs, 0.7269/0.7335 Wed
• Market clearly ranging pre Yellen - awaiting catalyst, but bias up
• NZD yield advantage underpins, bulls eye post RBNZ peak 0.7351
• Tues 0.7345 high ahead, break opens 22 May 2015 high 0.7396
• Above targets 14 May 15' high 0.7564 initially
• Initial support from 0.7307-13 hourly cloud. 200HMA is 0.7281

Today’s events

An expiring FX option heading into the New York Cut, if close enough to the strike price, can act as a magnet for selling/buying.  If the option is large, it can generate enough trading to move the market.  

Option Expirations(Source:ThompsonReuters)

• Event risk the only prop for vols as spot markets stagnate pre Yellen
• 1wk gets NFP now and 1mth a plethora of CB risk including FOMC
• Plenty of d/side potential for s/date vols if Yellen fails to budge USD
• 1wk USD/JPY implied is 13.0 vs daily realized vol a mere 2.5 to highlight

Looking Ahead - Economic Data (GMT) - (Source:ThompsonReuters)

• 12:30 Real GDP Q2 mkt +1.2% q/q, prev +1.1%
• 12:30 Real Final Sales Q2 mkt +2.4% q/q, prev +2.4%
• 12:30 Core PCE Price Index Q2 mkt +1.7% q/q, prev +1.7%
• 12:30 Adv. Goods Trade Balance Jul prev -$63.3 bln
• 12:30 Adv. Retail Inventories ex-Autos Jul prev +0.5% m/m
• 12:30 Adv. Wholesale Inventories Jul prev +0.3% m/m
• 14:00 U of Michigan Cons/Sent Idx Aug mkt 90.6, prev 90.4
• 14:00 U of Michigan Curr/ Cond Aug mkt 107.4, prev 106.1
• 14:00 U of Michigan Expectations Aug mkt 81.0, prev 80.3

Looking Ahead - Events, Other Releases (GMT) - (Source:ThompsonReuters)

• n/a  KC Fed hosts annual Economic Policy Symposium; Jackson Hole, WY
• 14:00 Fed Chair Yellen speaks on Fed  policy toolkit; Jackson Hole, WY
• 15:15 FRB New York Staff Nowcast for Q3 GDP growth prev +2.4% q/q

 

Topics: US FX Market Open

 

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