FX

US Dollar Index Up Again Today; Euro Down 2%, CHF Down 2.7%, CAD Down 2.5% This Week

Most of the price action seemed to come from US$ short covering than fundamentals, as moves in rates differentials (real and nominal) were favorable to the euro on Friday

Published ET

CitiFX Economic Surprise Indices | Sources: ϕpost, Refinitiv data

CitiFX Economic Surprise Indices | Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is up 0.37% at 92.23 (YTD: +2.54%)
  • Euro down 0.39% at 1.1860 (YTD: -2.9%)
  • Yen up 0.03% at 110.19 (YTD: -6.3%)
  • Onshore Yuan down 0.07% at 6.4525 (YTD: +1.2%)
  • Swiss franc down 0.55% at 0.9224 (YTD: -4.0%)
  • Sterling down 0.79% at 1.3809 (YTD: +1.0%)
  • Canadian dollar down 0.84% at 1.2466 (YTD: +2.1%)
  • Australian dollar down 0.97% at 0.7477 (YTD: -2.8%)
  • NZ dollar down 0.93% at 0.6933 (YTD: -3.5%)

WEEKLY COMMITMENT OF TRADERS DATA

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

KEY GLOBAL RATES DIFFERENTIALS

  • 5Y German-US interest rates differential 1.5 bp tighter at -146.4 bp (YTD change: -35.3 bp), positive for the euro
  • 5Y Japan-US interest rates differential 0.8 bp wider at -99.3 bp (YTD change: -51.0 bp), negative for the yen
  • 5Y China-US interest rates differential 0.9 bp tighter at 209.8 bp (YTD change: -47.3 bp), negative for the yuan
Real 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

  • EURO downside volatility saw a sharp increase, with the 1-month 10-delta put implied volatility up 1% this week
  • Deutsche Bank USD Currency Volatility Index currently at 6.05, unchanged (YTD: -1.12)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.65, up 0.1 on the day (YTD: -1.0)
  • Japanese Yen 1M ATM IV currently at 5.13,unchanged (YTD: -1.0)
  • Offshore Yuan 1M ATM IV currently at 3.80, down -0.2 on the day (YTD: -2.2)
ATM Implied Vols | Sources: ϕpost, Refinitiv data3-Month Realized Volatilities | Sources: ϕpost, Refinitiv dataEuro 1-Month Implied Volatility Smile | Sources: ϕpost, Refinitiv data1-month 10-delta risk reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS

  • Colombia (rated BBB-): up 4.2 basis points to 135 bp (1Y range: 83-164bp)
  • Argentina (rated CCC): up 49.1 basis points to 1,762 bp (1Y range: 1,049-6,788bp)
  • Mexico (rated BBB-): up 2.5 basis points to 96 bp (1Y range: 79-164bp)
  • Brazil (rated BB-): up 3.3 basis points to 167 bp (1Y range: 141-264bp)
  • Egypt (rated B+): up 5.5 basis points to 323 bp (1Y range: 283-454bp)
  • Government of Chile (rated A-): up 1.1 basis points to 65 bp (1Y range: 43-84bp)
  • Peru (rated BBB+): up 1.4 basis points to 95 bp (1Y range: 52-98bp)
  • Russia (rated BBB): up 1.2 basis points to 88 bp (1Y range: 72-129bp)
  • Indonesia (rated BBB): down 1.2 basis points to 72 bp (1Y range: 66-132bp)
  • Oman (rated BB-): down 6.3 basis points to 233 bp (1Y range: 228-485bp)

CDX EM Sovereign Index Spreads | Sources: phipost, Refinitiv data

LARGEST FX MOVES TODAY

  • CFA Franc BEAC up 3.0% (YTD: +1.8%)
  • Mozambique metical up 2.5% (YTD: +18.3%)
  • Aruba florin up 2.2% (YTD: +2.2%)
  • Cape Verde Escudo up 1.9% (YTD: +0.9%)
  • Namibian Dollar down 1.9% (YTD: +2.3%)
  • South Africa Rand down 2.1% (YTD: +2.1%)
  • Nicaragua Cordoba down 2.5% (YTD: -2.5%)
  • Eritrean Nakfa down 2.6% (YTD: -2.6%)
  • Venezuela Bolivar down 3.1% (YTD: -65.6%)
  • Seychelles rupee down 13.5% (YTD: +18.1%)

YTD BIGGEST WINNERS & LOSERS

  • Mozambique metical up 18.3%
  • Seychelles rupee up 18.1%
  • Argentine Peso down 11.8%
  • Turkish Lira down 15.0%
  • Haiti Gourde down 20.1%
  • Surinamese dollar down 33.9%
  • Syrian Pound down 49.4%
  • Venezuela Bolivar down 65.6%
  • Libyan Dinar down 70.2%
  • Sudanese Pound down 87.3%