FX

Dollar Index Rises Further As Speculative Positioning Against The Euro Gathers Steam

Goldman Sachs closed their long recommendation in the EUR and CAD, recognizing that in the short- to medium-term the dollar is likely to be stronger than expected (they previously had a forecast of 1.28 for the euro at year end)

Published ET

US Dollar Index Intraday | Source: Refinitiv

US Dollar Index Intraday | Source: Refinitiv

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QUICK SUMMARY

  • The US Dollar Index is up 0.83% at 91.89 (YTD: +2.17%)
  • Euro down 0.69% at 1.1911 (YTD: -2.5%)
  • Yen up 0.39% at 110.27 (YTD: -6.4%)
  • Onshore Yuan down 0.80% at 6.4477 (YTD: +1.2%)
  • Swiss franc down 1.03% at 0.9176 (YTD: -3.6%)
  • Sterling down 0.34% at 1.3939 (YTD: +1.9%)
  • Canadian dollar down 0.52% at 1.2343 (YTD: +3.2%)
  • Australian dollar down 0.67% at 0.7559 (YTD: -1.8%)
  • NZ dollar down 0.48% at 0.7015 (YTD: -2.4%)

MACRO DATA RELEASES

  • Australia, Employment, Absolute change for May 2021 (AU Bureau of Stat) at 115.20 k, above consensus estimate of 30.00 k
  • Australia, Unemployment, Rate for May 2021 (AU Bureau of Stat) at 5.10 %, below consensus estimate of 5.50 %
  • Botswana, Policy Rates, Bank Rate for Jun 2021 (Bank of Botswana) at 3.75 %
  • Egypt, Policy Rates, Overnight Deposit Rate for 21 Jun (Central Bank, Egypt) at 8.25 %
  • Egypt, Policy Rates, Overnight Lending Rate for 21 Jun (Central Bank, Egypt) at 9.25 %
  • Euro Zone, CPI, Change P/P, Price Index for May 2021 (Eurostat) at 0.30 %, in line with consensus estimate
  • Euro Zone, CPI, Change Y/Y for May 2021 (Eurostat) at 2.00 %, in line with consensus estimate
  • Indonesia, 7-Day Reverse Repo for Jun 2021 (Bank Indonesia) at 3.50 %, in line with consensus estimate
  • Indonesia, Deposit Facility Rate for Jun 2021 (Bank Indonesia) at 2.75 %, in line with consensus estimate
  • Indonesia, Lending Facility Rate for Jun 2021 (Bank Indonesia) at 4.25 %, in line with consensus estimate
  • Japan, CPI, Nationwide, All Items, Change Y/Y for May 2021 (MIC, Japan) at -0.10 %
  • Japan, CPI, Nationwide, All Items, Less fresh food, Change Y/Y for May 2021 (MIC, Japan) at 0.10 %, in line with consensus estimate
  • Norway, Policy Rates, Central Bank Rate Decision for 18 Jun (Norges Bank) at 0.00 %, in line with consensus estimate
  • Switzerland, Policy Rates, SNB Policy Rate for Q2 2021 (Swiss National Bank) at -0.75 %, in line with consensus estimate
  • Taiwan, Policy Rates, Discount Rate for Q2 2021 (CBC, Taiwan) at 1.125 %, in line with consensus estimate
  • Turkey, CBRT OVERNIGHT BORROWING RATE (EP) for Jun 2021 (Central Bank, Turkey) at 17.50 %
  • Turkey, Overnight Lending Rate for Jun 2021 (Central Bank, Turkey) at 20.50 %
  • Turkey, Policy Rates, Central Bank 1 Week Repo Lending Rate for Jun 2021 (Central Bank, Turkey) at 19.00 %, in line with consensus estimate
  • Turkey, Policy Rates, Late Liquidity Window Rate for Jun 2021 (Central Bank, Turkey) at 23.50 %
  • Ukraine, UA Central Bank Interest Rate for 17 Jun (NBU, Ukraine) at 7.50 %, in line with consensus estimate
  • United States, Jobless Claims, National, Initial for W 12 Jun (U.S. Dept. of Labor) at 412.00 k, above consensus estimate of 359.00 k
  • United States, Philadelphia Fed, General business activity for Jun 2021 (FED, Philadelphia) at 30.70, below consensus estimate of 31.00
Sources: ϕpost, Refinitiv dataSources: ϕpost, Refinitiv data

KEY GLOBAL RATES DIFFERENTIALS

  • 5Y German-US interest rates differential 2.6 bp tighter at -147.9 bp (YTD change: -36.8 bp)
  • 5Y Japan-US interest rates differential 2.6 bp tighter at -98.5 bp (YTD change: -50.2 bp)
  • 5Y China-US interest rates differential 2.6 bp wider at 210.7 bp (YTD change: -46.4 bp)
Real 10 Y Rates Differentials | Sources: ϕpost, Refinitiv dataEUR Rates Differentials | Sources: ϕpost, Refinitiv dataJPY Rates Differentials | Sources: ϕpost, Refinitiv dataCNY Rates Differentials | Sources: ϕpost, Refinitiv data

VOLATILITIES

  • Risk reversals (see below) speculative positioning is currently short euro, with more limited changes in JPY and CNY
  • Euro out-of-the-money puts have seen a strong increase in their implied volatilities over the past week
  • Deutsche Bank USD Currency Volatility Index currently at 6.05, up 0.31 on the day (YTD: -1.12)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.55, up 0.2 on the day (YTD: -1.1)
  • Japanese Yen 1M ATM IV currently at 5.18, up 0.0 on the day (YTD: -0.9)
  • Offshore Yuan 1M ATM IV currently at 4.00, up 0.2 on the day (YTD: -2.0)
FX ATM IV | Sources: ϕpost, Refinitiv dataEUR Implied Vol Smile | Sources: ϕpost, Refinitiv data1-month 10-delta risk reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS

  • South Africa (rated BB-): up 4.9 basis points to 189 bp (1Y range: 178-328bp)
  • Mexico (rated BBB-): up 1.5 basis points to 94 bp (1Y range: 79-164bp)
  • Indonesia (rated BBB): up 1.0 basis points to 74 bp (1Y range: 66-132bp)
  • Ecuador (rated WD): up 2.0 basis points to 165 bp (1Y range: 157-181bp)
  • Russia (rated BBB): up 1.0 basis points to 87 bp (1Y range: 72-129bp)
  • Pakistan (rated B-): up 4.5 basis points to 386 bp (1Y range: 362-512bp)
  • Nigeria (rated B): up 4.0 basis points to 351 bp (1Y range: 333-383bp)
  • Ethiopia (rated CCC): up 4.5 basis points to 404 bp (1Y range: 383-442bp)
  • Kenya (rated B+): up 4.5 basis points to 415 bp (1Y range: 394-454bp)
  • Egypt (rated B+): down 6.1 basis points to 318 bp (1Y range: 283-460bp)

CDX EM Sovereign CDS Spread | Sources: phipost, Refinitiv data

LARGEST FX MOVES TODAY

  • Qatari Riyal up 2.1% (YTD: 0.0%)
  • Indian Rupee down 1.3% (YTD: -1.5%)
  • Polish Zloty down 1.3% (YTD: -2.3%)
  • Turkish Lira down 1.3% (YTD: -14.7%)
  • Comoro Franc down 1.5% (YTD: -2.8%)
  • CFA Franc BCEAO down 1.5% (YTD: -2.7%)
  • Colombian Peso down 1.5% (YTD: -8.1%)
  • Hungarian Forint down 1.6% (YTD: -0.5%)
  • Pacific Franc down 1.8% (YTD: -2.6%)
  • Botswana Pula down 1.8% (YTD: -0.2%)