US Dollar Index Unchanged, With The Euro Rising And Yen Falling Against The Greenback

The euro rose today as US Flash PMIs were lower than expected (especially in services), while Eurozone data (most notably German Flash PMIs) beat market estimates

Published Jun 23, 2021 5:04 PM ET

1-month 10-delta risk reversals showing the euro positioning coming closer to home | Sources: ϕpost, Refinitiv data

QUICK SUMMARY

The US Dollar Index is up 0.05% at 91.80 (YTD: +2.07%)
Euro up 0.13% at 1.1931 (YTD: -2.3%)
Yen down 0.57% at 110.96 (YTD: -6.9%)
Onshore Yuan down 0.11% at 6.4727 (YTD: +0.8%)
Swiss franc unchanged at 0.9180 (YTD: -3.6%)
Sterling up 0.25% at 1.3964 (YTD: +2.1%)
Canadian dollar up 0.46% at 1.2303 (YTD: +3.5%)
Australian dollar up 0.53% at 0.7575 (YTD: -1.5%)
NZ dollar up 0.89% at 0.7047 (YTD: -1.9%)

MACRO DATA RELEASES

Canada, Retail Sales, Change P/P for Apr 2021 (CANSIM, Canada) at -5.70 %, below consensus estimate of -5.00 %
Czech Republic, Policy Rates, Repo Rate (2 Week) for 23 Jun (Czech National Bank) at 0.50%, in line with consensus estimate
Euro Zone, PMI, Composite, Output, Flash for Jun 2021 (Markit Economics) at 59.20, above consensus estimate of 58.80
Euro Zone, PMI, Manufacturing Sector, Total, Flash for Jun 2021 (Markit Economics) at 63.10, above consensus estimate of 62.10
Euro Zone, PMI, Services Sector, Business Activity, Flash for Jun 2021 (Markit Economics) at 58.00, above consensus estimate of 57.80
France, PMI, Composite, Output, Flash for Jun 2021 (Markit Economics) at 57.10, below consensus estimate of 59.00
France, PMI, Manufacturing Sector, Total, Flash for Jun 2021 (Markit/CDAF, France) at 58.60, below consensus estimate of 59.00
France, PMI, Services Sector, Business Activity, Flash for Jun 2021 (Markit/CDAF, France) at 57.40, below consensus estimate of 59.40
Germany, PMI, Composite, Output, Flash for Jun 2021 (Markit Economics) at 60.40, above consensus estimate of 57.50
Germany, PMI, Manufacturing Sector, Total, Flash for Jun 2021 (Markit Economics) at 64.90, above consensus estimate of 63.00
Germany, PMI, Services Sector, Business Activity, Flash for Jun 2021 (Markit Economics) at 58.10, above consensus estimate of 55.50
Japan, PMI, Manufacturing Sector, Jibun Bank Mfg PMI, Flash for Jun 2021 (Markit Economics) at 51.50
Russia, Production, IP Total , Change Y/Y for May 2021 (RosStat, Russia) at 11.80 %, above consensus estimate of 10.50 %
South Africa, CPI, Urban Areas, Headline, Change Y/Y, Price Index for May 2021 (Statistics, SA) at 5.20 %, below consensus estimate of 5.20 %
Thailand, Policy Rates, 1-Day Repurchase Rate (Key Policy Rate) for 23 Jun (Bank of Thailand) at 0.50 %, in line with consensus estimate
United Kingdom, Markit/CIPS PMI, Composite, Flash for Jun 2021 (Markit Economics) at 61.70, below consensus estimate of 62.80
United Kingdom, Markit/CIPS PMI, Manufacturing Flash for Jun 2021 (Markit Economics) at 64.20, above consensus estimate of 64.00
United Kingdom, Markit/CIPS PMI, Services, Flash for Jun 2021 (Markit Economics) at 61.70, below consensus estimate of 63.00
United States, New Home Sales for May 2021 (U.S. Census Bureau) at 0.77 Mln, below consensus estimate of 0.87 Mln
United States, PMI, Composite, Output, Flash for Jun 2021 (Markit Economics) at 63.90, below the consensus estimate of 67.60
United States, PMI, Manufacturing Sector, Total, Flash for Jun 2021 (Markit Economics) at 62.60, above consensus estimate of 61.50
United States, PMI, Services Sector, Business Activity, Flash for Jun 2021 (Markit Economics) at 64.80, below consensus estimate of 70.00

FX Majors Today | Sources: ϕpost, Refinitiv data

US Dollar Index | Sources: ϕpost, Refinitiv data

KEY GLOBAL RATES DIFFERENTIALS

10Y real yields in the US dropped, tightening the differentials with foreign real rates
5Y German-US interest rates differential 3.6 bp wider at -145.3 bp (YTD change: -34.2 bp), negative for the euro
5Y Japan-US interest rates differential 2.1 bp wider at -97.9 bp (YTD change: -49.6 bp), negative for the yen
5Y China-US interest rates differential 3.2 bp tighter at 204.6 bp (YTD change: -52.5 bp), negative for the yuan

10Y Real Rates Differentials | Sources: ϕpost, Refinitiv data

EUR & Rates differential | Sources: ϕpost, Refinitiv data

JPY & Rates differential | Sources: ϕpost, Refinitiv data

CNY & Rates differential | Sources: ϕpost, Refinitiv data

VOLATILITIES

Deutsche Bank USD Currency Volatility Index currently at 6.02, up 0.04 on the day (YTD: -1.15)
Euro 1-Month At-The-Money Implied Volatility currently at 5.28, down -0.2 on the day (YTD: -1.4)
Japanese Yen 1M ATM IV currently at 5.25, up 0.1 on the day (YTD: -0.9)
Offshore Yuan 1M ATM IV unchanged at 3.86 (YTD: -2.1)

FX 1-month ATM IVs | Sources: ϕpost, Refinitiv data

Euro 1-Month Implied Volatility Smile | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS

Saudi Arabia (rated A): up 1.4 basis points to 57 bp (1Y range: 53-105bp)
Government of Chile (rated A-): down 1.0 basis points to 62 bp (1Y range: 43-84bp)
Brazil (rated BB-): down 3.0 basis points to 162 bp (1Y range: 141-264bp)
Egypt (rated B+): down 5.9 basis points to 322 bp (1Y range: 283-448bp)
Oman (rated BB-): down 6.2 basis points to 236 bp (1Y range: 228-485bp)
Mexico (rated BBB-): down 2.6 basis points to 96 bp (1Y range: 79-164bp)
Morocco (rated BB+): down 2.4 basis points to 84 bp (1Y range: 84-127bp)
Russia (rated BBB): down 2.5 basis points to 83 bp (1Y range: 72-129bp)
South Africa (rated BB-): down 6.7 basis points to 184 bp (1Y range: 178-328bp)
Peru (rated BBB+): down 3.6 basis points to 87 bp (1Y range: 52-98bp)

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

LARGEST FX MOVES TODAY

Solomon Is Dollar up 2.7% (YTD: -0.1%)
Mexican Peso up 1.5% (YTD: -1.4%)
Chilean Peso up 1.5% (YTD: -3.5%)
Vanuatu Vatu up 1.5% (YTD: -1.2%)
Turkish Lira up 1.3% (YTD: -14.1%)
Jamaican Dollar up 1.2% (YTD: -4.4%)
Gibraltar Pound up 1.0% (YTD: +2.5%)
Surinamese dollar down 1.7% (YTD: -33.2%)
Haiti Gourde down 3.7% (YTD: -22.2%)
Seychelles rupee down 17.1% (YTD: +18.4%)