FX

With The Exception Of The Yen, Major Currencies Rise Against The Dollar As US Real Rates Hit New Record Low

The euro 1-month implied volatility smile is perfectly symmetric again, a sign that FX markets don't have any directional preference at this point

Published ET

EUR 1-Month implied volatility smile | Sources: ϕpost, Refinitiv data

EUR 1-Month implied volatility smile | Sources: ϕpost, Refinitiv data

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QUICK SUMMARY

  • The US Dollar Index is down -0.22% at 92.27 (YTD: +2.54%)
  • Euro up 0.25% at 1.1843 (YTD: -3.0%)
  • Yen down 0.14% at 109.94 (YTD: -6.1%)
  • Onshore Yuan up 0.32% at 6.4905 (YTD: +0.6%)
  • Swiss franc up 0.50% at 0.9100 (YTD: -2.7%)
  • Sterling up 0.22% at 1.3904 (YTD: +1.7%)
  • Canadian dollar up 0.63% at 1.2522 (YTD: +1.7%)
  • Australian dollar up 0.18% at 0.7373 (YTD: -4.2%)
  • NZ dollar up 0.04% at 0.6957 (YTD: -3.2%)

GLOBAL MACRO DATA RELEASES

  • Australia, CPI, Change P/P, Price Index for Q2 2021 (AU Bureau of Stat) at 0.80 %, above consensus estimate of 0.70 %
  • Australia, CPI, Change Y/Y, Price Index for Q2 2021 (AU Bureau of Stat) at 3.80 %, in line with consensus estimate
  • Australia, CPI, Trimmed mean, Change P/P for Q2 2021 (AU Bureau of Stat) at 0.50 %, in line with consensus estimate
  • Australia, CPI, Trimmed mean, Change Y/Y for Q2 2021 (AU Bureau of Stat) at 1.60 %, in line with consensus estimate
  • Australia, CPI, Weighted median, Change P/P for Q2 2021 (AU Bureau of Stat) at 0.50 %, in line with consensus estimate
  • Australia, CPI, Weighted median, Change Y/Y for Q2 2021 (AU Bureau of Stat) at 1.70 %, in line with consensus estimate
  • Canada, CPI, Core CPI (Bank of Canada), Change P/P, Price Index for Jun 2021 (CANSIM, Canada) at 0.30 %
  • Canada, CPI, Core CPI (Bank of Canada), Change Y/Y, Price Index for Jun 2021 (CANSIM, Canada) at 2.70 %
  • Kenya, Policy Rates, Central Bank Rate for Jul 2021 (Central Bank, Kenya) at 7.00 %, in line with consensus estimate
  • Russia, Unemployment, Rate for Jun 2021 (RosStat, Russia) at 4.80 %, below consensus estimate of 5.00 %
  • United Kingdom, House Prices, Nationwide, United Kingdom, all properties, Change P/P for Jul 2021 (Nationwide, UK) at -0.50 %, below consensus estimate of 0.60 %
  • United Kingdom, House Prices, Nationwide, United Kingdom, all properties, Change Y/Y for Jul 2021 (Nationwide, UK) at 10.50 %, below consensus estimate of 12.10 %
  • United States, Policy Rates, Fed Funds Target Rate for 29 Jul (FOMC, U.S.) at 0.125 %, in line with consensus estimate
  • United States, Policy Rates, Fed Interest On Excess Reserves for 29 Jul (FED, U.S.) at 0.15 %
FX Majors Today | Sources: ϕpost, Refinitiv dataUS Dollar Index & Deutsche Bank Currency Volatility Index | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +3.4 bp at 146.4 bp (YTD change: +35.4 bp)
  • US-JAPAN: +1.2 bp at 85.6 bp (YTD change: +37.4 bp)
  • US-CHINA: -3.1 bp at -201.1 bp (YTD change: +56.1 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -2.5 bp at 63.3 bp (YTD change: +17.2bp)
  • US-JAPAN: -2.2 bp at -101.7 bp (YTD change: -0.2bp)
  • JAPAN-GERMANY: -0.3 bp at 165.0 bp (YTD change: +17.4bp)
Nominal 5Y Rates Differentials | Sources: ϕpost, Refinitiv dataReal 10Y Rates Differentials | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 6.15, up 0.10 (YTD: -1.02)
  • Euro 1-Month At-The-Money Implied Volatility currently at 5.26, down -0.1 (YTD: -1.4)
  • Japanese Yen 1M ATM IV currently at 5.28, down -0.4 (YTD: -0.8)
  • Offshore Yuan 1M ATM IV currently at 4.38, down -0.1 (YTD: -1.6)
EUR JPY CNH 1-Month ATM Implied Vols | Sources: ϕpost, Refinitiv dataEUR, JPY, CNH 1-Month 10-Delta Risk Reversals | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Peru (rated BBB+): up 5.8 basis points to 89 bp (1Y range: 52-98bp)
  • Bahrain (rated B+): up 6.4 basis points to 248 bp (1Y range: 159-330bp)
  • Oman (rated BB-): up 6.3 basis points to 245 bp (1Y range: 223-466bp)
  • Egypt (rated B+): up 8.1 basis points to 350 bp (1Y range: 283-424bp)
  • Philippines (rated BBB): up 1.0 basis points to 50 bp (1Y range: 33-57bp)
  • Morocco (rated BB+): up 1.0 basis points to 90 bp (1Y range: 84-127bp)
  • Malaysia (rated BBB+): up 0.5 basis points to 51 bp (1Y range: 33-58bp)
  • Ecuador (rated WD): down 1.0 basis points to 165 bp (1Y range: 157-181bp)
  • Ethiopia (rated CCC): down 2.5 basis points to 404 bp (1Y range: 383-442bp)
  • Colombia (rated BB+): down 1.6 basis points to 152 bp (1Y range: 83-164bp)

CDX Emerging Markets Credit Spread | Sources: phipost.com, Refinitiv data

LARGEST FX MOVES TODAY

  • Tunisian Dinar up 1.3% (YTD: -2.2%)
  • Brazilian Real up 1.2% (YTD: +1.5%)
  • Colombian Peso up 1.0% (YTD: -11.6%)
  • Gibraltar Pound up 0.9% (YTD: +1.8%)
  • Falklands Pound up 0.9% (YTD: +1.8%)
  • Iceland Krona up 0.8% (YTD: +2.3%)
  • Czech Koruna up 0.7% (YTD: -0.5%)
  • Pakistani rupee down 0.8% (YTD: -1.3%)
  • Seychelles rupee down 1.1% (YTD: +30.8%)
  • Venezuela Bolivar down 4.0% (YTD: -73.3%)