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06 July 2011 Tom Fitzpatrick (1-212-723-1344)Shyam Devani (44-207-986-3453)
Alex Good (1-212- 723-3469)CitiFX Technicals Portfolio [email protected]
Todays Highlights
The Dollar Index has held 2 76.4% Fibonacci retracements and has a bullish technical set up
The S&P 500 has resistance at 1344, near a 76.4% Fibonacci and a past pivot point
The Dow Transportation Index, which we view as an important leading equity indicator should be
monitored for another top near previous all time highs
US 2 Year Yields held the .50% level which is the important level to monitor on the topside
EURUSD has paused near yet another 76.4% Fibonacci at 1.4548 and should be monitored for
further downside
AUDUSD held its resistance at 1.0777, a 61.8% Fibonacci
GBPUSD still looks bearish after holding its head and shoulders neckline that comes in at 1.6139
Gold held supports in the 1480 area and is near its 55 day moving average at 1520 with an overall
bullish backdrop
Oil has good resistance at $99
Chart of the Day: Dollar Index
Source: Aspen Graphics / Reuters 06 July 2011
The Dollar Index has made 2 76.4% Fibonacci retracements within its price action since May.Supports are at 74.30, which comes from the line drawn across the May and June lows76 is the important resistance to monitor
TechnicalsTechnical Developments in the Foreign Exchange andAsset Markets
76.4% Fibonacci retracements
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S&P 500 Index
Source: Aspen Graphics / Reuters 06 July 2011
The major level to watch on the topside of the S&P 500 is 1344 which was a pivot in February2011and a 76.4% Fibonacci level.A reversal off this level would be bearish
Dow Transportation Index
Source: Aspen Graphics / Reuters 06 July 2011
The Dow Transportation Index is approaching resistance at the all time highs of 5,565. This indexhas a history of setting marginal new highs before falling substantially (head fake)Reversal of momentum at this level would be technically significant and bearish
Long termresistance
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AUDUSD
Source: Aspen Graphics / Reuters 06 July 2011
The Australian dollar paused at its 61.8% Fibonacci retracement level 1.0777 which now serves asresistance.AUDUSD paused at this same level on June 3rd before moving to 1.04 which is support on thedownside
GBPUSD
Source: Aspen Graphics / Reuters 06 July 2011
Cable ran into resistance at its head and shoulders neckline at 1.6139The move up from the 1.5912 low looks corrective and suggests a move back down again
Overall the pattern targets sub 1.54
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PLEASE NOTE THAT: The tables and information specified below under Short Term Conviction views, Long TermConviction views, CitiFX Technicals Portfolio, Strategic Portfolio, and Tactical Portfolio ARE NOT INTENDED AS, ANDDO NOT CONSTITUTE, AN OFFER, RECOMMENDATION, ADVICE OR A SOLICITATION TO BUY, SELL OR TO ENGAGE IN ANYSTRATEGY, WHATSOEVER, IN ANY FOREIGN CURRENCY CONRACT OR ANY INSTRUMENT OR INVESTMENT. EACHDECISION BY YOU TO ENTER INTO ANY FOREIGN CURRENCY CONRACT OR TO INVEST IN ANY INSTRUMENT OR ENGAGEIN ANY STRATEGY MUST BE BASED ON DILIGENCE AND ANALYSIS INDEPENDENTLY UNDERTAKEN BY YOU AND YOURADVISORS. PLEASE CAREFULLY REVIEW THE DISCLAIMERS AT THE LAST PAGE OF THIS DOCUMENT.
Short term conviction views 1
Instrument ViewDate view was
establishedTarget Level today
Crude
Bearish daily reversal at thehighs and breach of near termsupports suggest short termweakness
13 April
** $93 Target Met.
Possibleextendedmove to $83.40 (200
week movingaverage)**
In addition a move to$75 (Head and
shoulders target)cannot be ruled out.
$96.32
EURUSD Bearish weekly reversal at the
trend highs09 May
1.4156**Target Met. Extended
to 1.39 (200 day)1.4318
EURCHF
Breached 5 monthconsolidatiojnj with a doubletop in place, could see smallpull back first (see portfolio)
23 May 1.16 1.2050
GBPUSD Revisited but could not sustain
rising trendline, head andshoulders targeting 1.5345
21 June 1.5345 1.6003
USDJPY
76.4% against the lows, doublebottom type formation andinverted head and shouldersbreak suggest higher levels
28 June 82.10 81.04
Source: CitFXTechnicals Views 06 July 2011
1Convictions represent the views of the CitiFX Technical staff and not actual trades.
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Long term conviction views1
Summary of our strong conviction 2011 views as we open the year.
(As we continually note, when and if factors/dynamics change, we will adjust them into our thoughtprocess. These are our views we hold with conviction today. As we head through the year we willupdate our level of conviction on an ongoing basis.)
Instrument View for 2011 on 03 Jan 2011Conviction on 03
Jan 2011Conviction today-
06 July 2011Level today
S&P 500
Bearish year with double digit
percentage down close of 15-16% (1,055-1070) expected.
Intra year bear market (High tolow fall of 20%+ ) also a danger.
Peak could well come in theopening days of the year.
Strong Strong 1,338
U.S. long endyields
10 year yields to head towards4% and possibly 4.5% by end ofyear.
30 year yields to head towards5%
Strong Strong10Y at 3.09%and 30Y at
4.37%
Crude A move above $100 and
possibly towards $120Strong $100 target met. $96.32
Gold $1,700 this year and as high as
$2,000 eventuallyStrong Strong $1,515
Palladium A move above $1,000 this year Strong Strong $771
EURUSD
A move to high 1.40s (1.4850)by end of year) with possible1.50+ and even 1.60+ in early2012
Strong
Weak. We have nowchanged our year endview and believe that
the move seen to1.4940 on 04 May has
established a longterm peak earlier than
we thought.
1.4318
Data as at 06 July 2011
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CitiFXTechnicals PortfolioStrategic trades will likely be / intended to be of more medium term nature using the variety of building blocks that we articulate in thatmedium term view.Tactical trades by definition are likely to be more short-term and driven more by day to day price dynamics, risk management P&L etc.The strategic portfolio will be made up of 100 units of capital with the potential for modest leverage while the tactical por tfolio willcomprise 50 units of capital also with modest leverage potential.These portfolios represent actual trades in FX, EM, Fixed income, Commodities or Equity indices
Strategic PortfolioData as at 06 July 2011
Instrument PositionDate
establishedComment Entry
Stop(If breached
unlessspecified
otherwise)
TargetPresent
level
Tactical PortfolioData as at 06 July 2011
Instrument PositionDate
established Comment Entry
Stop(If breached
unlessspecified
otherwise)
TargetPresent
level
EURGBP
Long 0.8450Put Option(expiry 06
July)
25 May 2011
Price action issimilar to that
seen at the highsin October 2010
suggesting furtherlosses
Spot ref.0.8666
Premium paid 0.8450 .8947
GBPUSD Short 23 June 2011
Long term headand shoulders,
interest rate andequity
Spot Ref:1.6133
1.63051.5345-1.5370
1.6003
10 YearFuture(TYU1)
Short 24 June 2011
Held base of what
looks likecorrective flag,
potential doublebottom
124 14/32 125 1/2 3.10%(yield) 123
USDJPY Long 27 June 2011
76.4% FibonacciHold + double
bottom + invertedhead and
shoulders + US 2year set up
80.79 80.0082.10,
possibly84.00
81.04
EURCHF Short 01 July 2011Dominant pattern
is still a double topthat targets 1.16
1.2283 1.2425 1.16 1.2033
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CitiFXTechnicals ProductsToday's Highlights - Sent Monday, Tuesday and Wednesday. Technical Strategy focused publication detailingimportant technical developments in the past 24 hours and looking at possible implications for other markets.Main focus is the FX market but the piece also covers important developments in Equity, Fixed Income andCommodity markets, especially where we believe the moves are significant for FX. The publication also includes adaily grid with short comments on each major currency pair and support/resistance levels
Weekly Roundup - Sent late Thursday European time. Detailed coverage of all G10/EM FX Markets and relatedasset markets, with charts of each market. The document is hyperlinked to ease use and navigation. It should bethought of as an e-mailed website that can be kept for reference over the following week.
Bulletins Ad hoc pieces sent where we believe particularly significant developments have taken place. Oftenbased on interrelationships between markets.
Portfolio Updates - We run a portfolio on the back of our ideas/views and as such send e-mails detailingchanges to positions (targets/stops etc.) in relation to this.
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CitiFX Value Added Services & Products
FX Technicals
Tom Fitzpatrick New York 1-212-723-1344 [email protected]
Shyam Devani London 44-20-7986-3453 [email protected]
Alex Good New York 1-212- 723-3469 [email protected]
CitiFX Value Added Services & Products Group Heads
Global Head of Value Added Services & ProductsStephane Knauf London 44-20-7986-9486 [email protected]
Corporate Solutions GroupStephane Knauf London 44-20-7986-9486 [email protected]
FX & Local Markets StrategySteven Englander New York 1-212-723-3211 [email protected]
FX TechnicalsTom Fitzpatrick New York 1-212-723-1344 [email protected]
Quantitative Investor SolutionsJessica James London 44-20-7986-1592 [email protected]
Structuring GroupStephane Knauf London 44-20-7986-9486 [email protected]
Value Added ProductsPhilip Brass London 44-20-7986-1614 [email protected] Thomet Zurich 41-58-750-7646 [email protected]
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Disclaimer for Charts / Graphs that show Market Data:
Past performance is not indicative of future results, which may vary.Statistical information comes from sources that we believe to be reliable source(s); however, no information orrelated data has been independently verified by us. We assume no duty or obligation to update any information
or data. The information contained in this report is based on generally available information, its accuracy andcompleteness cannot be assured, and such information may be incomplete or condensed.Some indices are unmanaged and investors cannot directly invest in them. The composite index results are forillustrative purposes only and do not represent the performance of a specific investment.Supporting documentation will be furnished upon request for all claims, comparisons, recommendations,statistics or other technical data.Other Citi personnel may have made investment decisions or take positions that are inconsistent with therecommendations or views in this publication.Affiliates of Citi may serve as investment advisors to clients, including limited partnerships and other pooledinvestment vehicles. The affiliates may give advice and take action with respect to their clients that differs fromthe information and opinions included in this publication.This document and the information herein are made available to you at your request and for informationpurposes only. This document and any other information provided to you is not intended and does notconstitute an offer to buy or sell, or the solicitation of an offer to buy or sell, any foreign currency contracts, nor
is it intended to be advice or a recommendation of any kind whatsoever. Each decision by you to enter into aforeign currency contract and each decision whether a foreign currency contract is appropriate or proper for youis an independent decision by you.
Fees, transaction costs, and other expenses reduce returns.
The total impact of the spreads and fees may be significant and may make it moredifficult for you to realize a profit from trading if replicating Short Term Convictionviews, Long Term Conviction views, CitiFX Technicals Portfolio, StrategicPortfolio, and Tactical Portfolio trades.
Over the Counter (OTC) trades in the CitiFXTechnicals Portfolio are established at market prices fromindependent trading desks in the sales and trading department of Citigroup Global Markets Inc. or one of its affiliates
(collectively, Citi). Contract market positions in the CitiFXTechnicals Portfolio are established on thelisting exchange.
OTC Positions are priced to market using bid/offer prices from independent Citi sources at time of publication.Contract market positions are priced at end of day settlement or current disseminated prices on the listingexchange at the time of publication.When OTC market prices are not readily available, positions are priced to fair market value, using techniquessuch as model or matrix pricing at time of publication. Examples of products that are priced to fair market valueinclude certain contractual commitments (i.e. interest rate swaps, options, etc.).
Cash, Forward or Options positions in foreign currencies are volatile and involve inherent risks including the effect ofleverage. Foreign exchange transactions are not appropriate for every investor and investors should refrain frominvesting (or hedging) in foreign exchange unless they are knowledgeable, experienced and fully understand theterms and risks, including but not limited to:
Potential of loss. Because of the effect of leverage, relatively small market movement will have a proportionatelylarge impact of the funds deposited. This loss can be equal to, or in some instances greater than the full amount ofthe initial investment.Options. Investors should be fully aware of the standardized terms, special vocabulary (such as puts, calls, deltaand theta) and the potential high-risk characteristics of option transactions.Diversification does not ensure against loss.There may be additional risk associated with international investing, including foreign economic, political,monetary and/or legal factors, changing currency exchange rates, foreign taxes, and differences in financial andaccounting and regulatory standards. These risks may be magnified in emerging markets. International investingmay not be for everyone.Certain foreign exchange transactions are only available to Eligible Contract Participants as defined in the
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