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					EUR
02/07/2012




             Market Research
                                                                                                                                                                             Monday, July 02, 2012
 EUR                                                           Dominant Events for Euro                                                                                                15:00 GMT




      Yellow Area                              Green Area                                  Blue Area                                Pink Area                            Orange Area
             June 25                                  June 26                                  June 27                                   June 28                             June 29

        04:00 - 10:00                             03:00 - 11:00                            12:00 - 19:00                             05:00 - 09:00                        02:00 - 15:00

     Moody’s                                 China CB Leading                         German                                  German                                German Retail
      Downgraded                               Index [link]                              Preliminary CPI                          Unemployment                           Sales [link]
      Spanish Banks                                                                      [link]                                   Change [link]
                                              Italian Retail Sales                                                                                                     BoE Governor
      [link]
                                               [link]                                   U.S. Durable Goods                      EU Economic                            Mervyn King
     Anticipation of EU                                                                 [link]                                   Summit [link]                          Speech [link]
                                              U.S. Home Prices
      Economic Summit
                                               Index [link]                             U.S. Pending Home                       Italian 10-year                       EU Economic
      [link]
                                                                                         Sales [link]                             Bond Auction [link]                    Summit [link]
                                              U.S. CB Consumer
                                               Confidence [link]                                                                                                        U.S. Revised UoM
                                                                                                                                                                         Consumer
                                                                                                                                                                         Sentiment [link]




Dukascopy Bank SA, Route de Pre-Bois 20, International Center Cointrin, Entrance H, 1215 Geneva 15, Switzerland tel: +41 (0) 22 799 4888, fax: +41 (0) 22 799 4880          research@dukascopy.com
                                                                                                                                                                       Monday, July 02, 2012
 EUR                                                           Currency Index & Volatility                                                                                       15:00 GMT




                                                                                                                               In anticipation of the EU economic summit the single
                                                                                                                               currency has been steadily rolling down until Thursday,
                                                                                                                               depreciating nearly 1% on average against most traded
   Appreciation




                                                                                                                               currencies within four days against the background of
                                                                                                                               general tranquillity. However, losses were offset by three
                                                                                                                               consecutive rallies, thus elevating volatility considerably.

  Base                                                                                                                         At the very start of the previous week market started to
                                                                                                                               price in outcome of the summit, reducing exposure to
   Depreciation




                                                                                                                               riskier assets, such as the Euro, currency index of which
                                                                                                                               slid down 0.25%. Risk averse sentiment was also
                                                                                                                               strengthened by a downgrade of Spanish banks by
                                                                                                                               Moody’s.

                                                                                                                               Last Tuesday contracting at an increasing speed Italian
                                                                                                                               retail sales coupled with worsening sentiment in the
                                                                                                                               U.S.A. revitalised bearish momentum of the Euro,
                                                                                                                               dragging its value southwards by 0.35%.

                                                                                                                               EUR remained under pressure the next day as well, even
                                                                                                                               though there were no particularly bad news associated
                                                                                                                               with Eurozone. Data on U.S. real estate market on the
                                                                                                                               other hand indicated recovery of the sector.
      Turbulent




                                                                                                                               During the first day of the summit the Euro was
                                                                                                                               massively sold off amid growing yields on Italian debt
                                                                                                                               and deteriorating statistics on German labour market,
Normal                                                                                                                         plummeting 0.4% just within four hours. Though
                                                                                                                               afterwards the Euro commenced recovery, which lasted
      Tranquil




                                                                                                                               until the end of the week, adding 0.7% to its worth on
                                                                                                                               June 29 and completely erasing prior performance.

                       Portion of observations above normal volatility: DBVI - 19%; EUR/USD - 20%


Dukascopy Bank SA, Route de Pre-Bois 20, International Center Cointrin, Entrance H, 1215 Geneva 15, Switzerland tel: +41 (0) 22 799 4888, fax: +41 (0) 22 799 4880    research@dukascopy.com
                                                                                                                                                                           Monday, July 02, 2012
 EUR                                                                               Correlations                                                                                      15:00 GMT




                                                                                                                                                  Judging by the fact the average
                                                                                                                                                  correlation coefficient (red line) hovered
                                                                                                                                                  within a corridor from 0.2 to 0.4 for the
                                                                                                                                                  last five trading days, we may conclude
                                                                                                                                                  that significance of the 17-nation
                                                                                                                                                  currency stays at decreased levels in
                                                                                                                                                  comparison to the previous year.
                                                                                                                                                  Therefore the level of currency’s
                                                                                                                                                  importance is likely to remain low for a
                                                                                                                                                  prolonged period of time.

                                                                                                                                                  The average correlation coefficient
                                                                                                                                                  attempted to surge on several occasions,
                                                                                                                                                  after Italian retail sales data on June 26
                                                                                                                                                  and following the EU economic summit
                                                                                                                                                  on June 29, but success was muted, as
                                                                                                                                                  the main driver of fluctuations in the
                                                                                                                                                  currency market at the moment is the
                                                                                                                                                  Japanese Yen, which is not expected to
                                                                                                                                                  be displaced from this position in near
                                                                                                                                                  future.

                                                                                                                                                  It is also worth mentioning that
                                                                                                                                                  correlations between EUR crosses with
                                                                                                                                                  major currencies strengthen - something
                                                                                                                                                  we cannot say about interrelations of
                                                                                                                                                  pairs that are not shown on the graph,
                                                                                                                                                  but are still included into calculations of
                                                                                                                                                  the average values of coefficients.




Dukascopy Bank SA, Route de Pre-Bois 20, International Center Cointrin, Entrance H, 1215 Geneva 15, Switzerland tel: +41 (0) 22 799 4888, fax: +41 (0) 22 799 4880        research@dukascopy.com
                                                                                                                                                                      Monday, July 02, 2012
                                        Confidence Intervals for the Next 24 Hours                                                                                              15:00 GMT




Dukascopy Bank SA, Route de Pre-Bois 20, International Center Cointrin, Entrance H, 1215 Geneva 15, Switzerland tel: +41 (0) 22 799 4888, fax: +41 (0) 22 799 4880   research@dukascopy.com
                                                                                                                                                                      Monday, July 02, 2012
                                                      Dukascopy Bank Volatility Index                                                                                           15:00 GMT
       Turbulent




  Normal
       Tranquil




                   Dukascopy Bank Volatility Index reflects the variability of the Forex market and is based upon the performance of the following currency pairs:

                        EUR/USD EUR/JPY GBP/USD USD/JPY USD/CHF AUD/USD USD/CAD EUR/GBP EUR/CHF USD/SEK NZD/USD
                           An index value of 1 indicates normal volatility, whereas data above or below 1 signifies turbulence or tranquility, respectively.




Dukascopy Bank SA, Route de Pre-Bois 20, International Center Cointrin, Entrance H, 1215 Geneva 15, Switzerland tel: +41 (0) 22 799 4888, fax: +41 (0) 22 799 4880   research@dukascopy.com
EXPLANATIONS

                                   Violin Plot                                              Methodologies
                   Violin Plot is a combination of a Box Plot                               Volatility Index
                        and rotated Kernel Density Plot                                     Confidence Interval
       Values of Observations




                                                                Median




                                                                Interquartile Range




                                Relative Density




Dukascopy Bank SA, Route de Pre-Bois 20, International Center Cointrin, Entrance H, 1215 Geneva 15, Switzerland tel: +41 (0) 22 799 4888, fax: +41 (0) 22 799 4880   research@dukascopy.com
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