Australian Dollar Futures (CME.AD) posted its first loss in five trading days Friday, climbing the previous four after a plummet of 14 straight losing days. Friday's loss was a 'big' one (more than one standard deviation below the average one day percent move over the last 30 days) and AD closed at the low of the day.
Q: What has happened in the past when, in the third quarter, AD is down 'big to close at the low of the day while commercial hedgers in the market are net short of contracts, omitting any repeat occurrences within 10 trading days?
A: According to the eight previous occurrences of this event, EventEdge indicates that CME.AD has shown a strong bearish edge that peaks six trading days after the event. Thus, the projected date for the peak of the bearish edge relative to the current event date (Friday, August 22, 2008) is Tuesday, Sept. 2, 2008. CME.AD declines in 100% of the cases (8 of 8) by an average of 1.9% relative to the close on the event date. The overall return of the eight cases is -1.9%, which, based on the close of CME.AD on the event date (86.39¢), provides a target price of 84.75¢.
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Jeffrey Garceau is an analyst with MarketHistory.com.
