Mixed Performance For Major Currencies Today, US Dollar Index Closes Unchanged

At-the-money implied volatilities up slightly today for the EUR and JPY; euro IV curve still skewed to the downside

Published Jun 28, 2021 5:32 PM ET

The US Dollar Index is up 0.04% at 91.89 (YTD: +2.17%)
Euro down 0.04% at 1.1928 (YTD: -2.3%)
Yen up 0.19% at 110.60 (YTD: -6.6%)
Onshore Yuan up 0.02% at 6.4555 (YTD: +1.1%)
Swiss franc down 0.19% at 0.9196 (YTD: -3.7%)
Sterling up 0.01% at 1.3878 (YTD: +1.5%)
Canadian dollar down 0.28% at 1.2330 (YTD: +3.3%)
Australian dollar down 0.25% at 0.7567 (YTD: -1.7%)
NZ dollar down 0.37% at 0.7046 (YTD: -1.9%)

Austria, Markit PMI, Business Surveys, PMI, Manufacturing Sector, Total for Jun 2021 (Markit Economics) at 67.00
Colombia, Policy Rates, Intervention Rate for Jun 2021 (Cent Bank, Colombia) at 1.75%, in line with consensus estimate
Germany, Import Prices, Change P/P, Price Index for May 2021 (Destatis) at 1.70 %, above consensus estimate of 1.50 %
Germany, Import Prices, Change Y/Y, Price Index for May 2021 (Destatis) at 11.80 %, above consensus estimate of 11.30 %
Japan, Labour Market n.i.e, Active opening rate for May 2021 (JILPT, Japan) at 1.09 , above consensus estimate of 1.08
Japan, Retail Sales, Change Y/Y for May 2021 (METI, Japan) at 8.20 %, above consensus estimate of 7.90 %
Japan, Unemployment, Rate for May 2021 (MIC, Japan) at 3.00%, above consensus estimate of 2.90 %
Norway, Retail Sales, Change P/P for May 2021 (Statistics Norway) at 5.80 %
Sweden, Retail Sales, Total excluding petrol stations, Change P/P for May 2021 (SCB, Sweden) at 2.30 %
Sweden, Retail Sales, Total excluding petrol stations, Change Y/Y for May 2021 (SCB, Sweden) at 10.30 %
Thailand, Production, Value Added, Manufacturing, total, Change Y/Y for May 2021 (OIE, Thailand) at 25.84 %, above consensus estimate of 19.55 %

5Y German-US interest rates differential 0.5 bp tighter at -147.2 bp (YTD change: -36.1 bp)
5Y Japan-US interest rates differential 3.1 bp tighter at -101.1 bp (YTD change: -52.8 bp)
5Y China-US interest rates differential 3.5 bp wider at 203.1 bp (YTD change: -54.0 bp)

Deutsche Bank USD Currency Volatility Index currently at 5.78, down -0.11 on the day (YTD: -1.39)
Euro 1-Month At-The-Money Implied Volatility currently at 5.18, up 0.3 on the day (YTD: -1.5)
Japanese Yen 1M ATM IV currently at 5.00, up 0.2 on the day (YTD: -1.1)
Offshore Yuan 1M ATM IV currently at 3.78, up 0.1 on the day (YTD: -2.2)

Morocco (rated BB+): up 3.2 basis points to 87 bp (1Y range: 84-127bp)
Argentina (rated CCC): up 54.6 basis points to 1,907 bp (1Y range: 1,049-1,968bp)
Indonesia (rated BBB): down 0.8 basis points to 73 bp (1Y range: 66-132bp)
Panama (rated BBB-): down 1.0 basis points to 64 bp (1Y range: 44-112bp)
Saudi Arabia (rated A): down 0.9 basis points to 53 bp (1Y range: 53-105bp)
Mexico (rated BBB-): down 2.3 basis points to 92 bp (1Y range: 79-164bp)
Oman (rated BB-): down 6.4 basis points to 234 bp (1Y range: 226-485bp)
Colombia (rated BBB-): down 4.5 basis points to 133 bp (1Y range: 83-164bp)
Government of Chile (rated A-): down 2.0 basis points to 59 bp (1Y range: 43-84bp)
Peru (rated BBB+): down 3.1 basis points to 82 bp (1Y range: 52-98bp)

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

Seychelles rupee up 3.4% (YTD: +47.9%)
Peru Sol up 2.5% (YTD: -6.9%)
Vanuatu Vatu up 1.6% (YTD: -2.0%)
Barbados Dollar up 1.5% (YTD: +1.5%)
Bosnian Mark up 1.5% (YTD: -2.8%)
Belize Dollar up 1.2% (YTD: +1.2%)
Congo Franc down 1.6% (YTD: -2.2%)
Qatari Riyal down 1.9% (YTD: -1.9%)
CFA Franc BEAC down 2.9% (YTD: -2.5%)
Mauritius Rupee down 3.7% (YTD: -6.8%)