FX

Small Gain For The US Dollar To End The Week

Speculative interest in the Euro may be fizzling with rates stall: the implied volatility smile has become less skewed to the upside this week, though the CFTC Report today pointed to an increase in net long positions

Published ET

EUR/USD 1-Month Implied Volatily Smile | Sources: ϕpost, Refinitiv data

EUR/USD 1-Month Implied Volatily Smile | Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is up 0.1% at 90.03
  • Yen unchanged at 109.81 (YTD: -6.0%)
  • Onshore Yuan up 0.2% at 6.3674 (YTD: +2.5%)
  • Swiss franc down 0.3% at 0.8997 (YTD: -1.6%)
  • Sterling unchanged at 1.4198 (YTD: +3.8%)
  • Canadian dollar unchanged at 1.2066 (YTD: +5.5%)
  • Australian dollar down 0.3% at 0.7713 (YTD: +0.2%)
  • NZ dollar down 0.6% at 0.7247 (YTD: +0.9%)

MACRO DATA RELEASES

  • Brazil, Composite Index, IGP-M inflation, Change P/P, Price Index for May 2021 (FGV, Brazil) at 4.10, above consensus estimate of 4.00
  • Colombia, Policy Rates, Intervention Rate for May 2021 (Cent Bank, Colombia) at 1.75
  • Euro Zone, All Respondents, Total, Consumer Confidence Indicator, Balance for May 2021 (DG ECFIN, France) at -5.10, in line with consensus
  • France, GDP, Total growth, Change P/P for Q1 2021 (INSEE, France) at -0.10, below consensus estimate of 0.40
  • France, HICP, Flash, Change Y/Y, Price Index for May 2021 (INSEE, France) at 1.80, in line with consensus
  • Switzerland, KOF composite leading indicator for May 2021 (KOF, Switzerland) at 143.20, above consensus estimate of 136.00
  • United States, Personal Consumption Expenditure, Change P/P for Apr 2021 (BEA, US Dept. Of Com) at 0.50, in line with consensus
  • United States, University of Michigan, Consumer Sentiment Index, Volume Index for May 2021 (UMICH, Survey) at 82.90, in line with consensus

WEEKLY CFTC DATA

  • ALL: increase in net short US$ positioning
  • G10: increase in net short US$ positioning
  • Emerging: reduction in net long US$ positioning
  • Euro: increase in net short US$ positioning
  • Japanese Yen: reduction in net long US$ positioning
  • UK Pound Sterling: increase in net short US$ positioning
  • Australian Dollar: reduced their net short US$ positioning
  • Swiss Franc: reduction in net long US$ positioning
  • Canadian Dollar: reduced their net short US$ positioning
  • New Zealand Dollar: increase in net short US$ positioning
  • Brazilian Real: increase in net short US$ positioning
  • Russian Rouble: increase in net short US$ positioning
  • Mexican Peso: reduction in net long US$ positioning
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

RATES SPREADS

  • 5Y German-US interest rates spread 1.6 bp tighter, positive for the Euro
  • 5Y Japan-US rates spread 3.9 bp tighter, positive for the Yen
  • 5Y Chinese-US rates spread 4.7 bp wider, positive for the Yuan
Real Rates (Nominal - Inflation Expectations) | Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

VOLATILITIES

  • Deutsche Bank USD Currency Volatility Index currently at 6.30, up 0.01 on the day (YTD: -0.87)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.65, unchanged (YTD: -1.0)
  • Japanese Yen 1M ATM IV currently at 5.38, down -0.2 on the day (YTD: -0.7)
  • Offshore Yuan 1M ATM IV currently at 4.31, down -0.2 on the day (YTD: -1.7)
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS

  • Turkey (rated BB-): up 7.5 basis points to 407 bp (1Y range: 282-597bp)
  • Senegal (rated B+): down 4.5 basis points to 376 bp (1Y range: 355-409bp)
  • Kenya (rated B+): down 5.0 basis points to 417 bp (1Y range: 394-454bp)
  • Ecuador (rated WD): down 2.0 basis points to 166 bp (1Y range: 157-181bp)
  • Ethiopia (rated CCC): down 5.0 basis points to 406 bp (1Y range: 383-442bp)
  • Lebanon (rated CC): down 43.0 basis points to 3,381 bp (1Y range: 3,196-3,683bp)
  • Nigeria (rated B): down 4.5 basis points to 352 bp (1Y range: 333-383bp)
  • Peru (rated BBB+): down 1.6 basis points to 94 bp (1Y range: 52-97bp)
  • Government of Chile (rated A-): down 1.7 basis points to 66 bp (1Y range: 43-87bp)
  • Saudi Arabia (rated A): down 1.8 basis points to 59 bp (1Y range: 53-136bp)
CDX EM | Sources: ϕpost, Refinitiv data

NOTABLE OTHER MOVERS TODAY

  • Mauritania ouguiya up 1.7% (YTD: +1.7%)
  • Jamaican Dollar up 1.1% (YTD: -4.0%)
  • Peru Sol up 0.8% (YTD: -5.2%)
  • Pakistani rupee up 0.8% (YTD: +4.0%)
  • Falklands Pound up 0.6% (YTD: +4.2%)
  • Gibraltar Pound up 0.6% (YTD: +4.2%)
  • Iceland Krona down 0.5% (YTD: +5.6%)
  • Turkish Lira down 0.6% (YTD: -13.2%)
  • New Zealand $ down 0.6% (YTD: +0.9%)
  • Solomon Island Dollar down 0.6% (YTD: +0.2%)

YTD BIGGEST FX WINNERS & LOSERS

  • Seychelles rupee up 26.5%
  • Mozambique metical up 22.4%
  • Ethiopian Birr down 10.2%
  • Argentine Peso down 11.1%
  • Turkish Lira down 13.2%
  • Haiti Gourde down 19.1%
  • Syrian Pound down 49.4%
  • Venezuela Bolivar down 64.4%
  • Libyan Dinar down 70.0%
  • Sudanese Pound down 86.8%