US Dollar Rises Slightly, With Euro Down and Yen Largely Unchanged

Despite a recent rebound in the euro against the dollar, implied volatilies are still moderately skewed to the downside

Published Sep 9, 2021 1:22 AM ET

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

QUICK SUMMARY

The US Dollar Index is up 0.19% at 92.70 (YTD: +3.02%)
Euro down 0.18% at 1.1818 (YTD: -3.2%)
Yen up 0.03% at 110.23 (YTD: -6.3%)
Onshore Yuan up 0.07% at 6.4612 (YTD: +1.0%)
Swiss franc down 0.23% at 0.9219 (YTD: -4.0%)
Sterling down 0.12% at 1.3766 (YTD: +0.7%)
Canadian dollar down 0.37% at 1.2691 (YTD: +0.4%)
Australian dollar down 0.32% at 0.7361 (YTD: -4.3%)
NZ dollar up 0.03% at 0.7099 (YTD: -1.2%)

MACRO DATA RELEASES

Canada, PMI, Composite for Aug 2021 (Richard Ivey) at 63.80 (vs 59.80 prior)
Canada, PMI, Composite for Aug 2021 (Richard Ivey) at 66.00 (vs 56.40 prior)
Canada, Policy Rates, Overnight Target Rate for 08 Sep (Bank of Canada) at 0.25 % (vs 0.25 % prior), in line with the consensus estimate
Chile, CPI, Change P/P, Price Index for Aug 2021 (INE, Chile) at 0.40 % (vs 0.80 % prior), in line with the consensus estimate
Hungary, CPI, All Items, Change Y/Y, Price Index for Aug 2021 (HCSO, Hungary) at 4.90 % (vs 4.60 % prior), above consensus estimate of 4.70 %
Hungary, Trade Balance, Preliminary, Current Prices for Jul 2021 (HCSO, Hungary) at -193.00 Mln EUR (vs 629.00 Mln EUR prior), below consensus estimate of 185.00 Mln EUR
Latvia, CPI, Change P/P for Aug 2021 (Statistics, Latvia) at 0.40 % (vs 0.40 % prior)
Latvia, CPI, Change Y/Y for Aug 2021 (Statistics, Latvia) at 3.70 % (vs 2.80 % prior)
Lithuania, CPI, Change P/P for Aug 2021 (Statistics Lithuania) at 0.40 % (vs 0.70 % prior)
Lithuania, CPI, Change Y/Y, Price Index for Aug 2021 (Statistics Lithuania) at 5.30 % (vs 4.70 % prior)
Poland, Policy Rates, Reference Rate (7-Day NBP Bill Rate) for Aug 2021 (Central Bank, Poland) at 0.10 % (vs 0.10 % prior), in line with the consensus estimate
Russia, CPI, Change P/P for Aug 2021 (RosStat, Russia) at 0.20 % (vs 0.30 % prior), above consensus estimate of 0.10 %
Russia, CPI, Change Y/Y for Aug 2021 (RosStat, Russia) at 6.70 % (vs 6.50 % prior), above consensus estimate of 6.60 %
Slovakia, Trade Balance, Total, FOB, Current Prices for Jul 2021 (Stat Office of SR) at -10.70 Mln EUR (vs 296.70 Mln EUR prior), below consensus estimate of 175.60 Mln EUR
Sweden, Industrial Production , Change Y/Y for Jul 2021 (SCB, Sweden) at 13.30 % (vs 16.70 % prior)
Sweden, Industrial Production, Change M/M, Volume Index for Jul 2021 (SCB, Sweden) at 1.20 % (vs 1.90 % prior)
Sweden, Private Sector Production, Change M/M, Volume Index for Jul 2021 (SCB, Sweden) at 2.00 % (vs 0.80 % prior)
Sweden, Private Sector Production, Change Y/Y for Jul 2021 (SCB, Sweden) at 10.50 % (vs 10.50 % prior)
United Kingdom, RICS Housing Market, Price, England and Wales for Aug 2021 (RICS, United Kingdom) at 73.00 (vs 79.00 prior), below consensus estimate of 75.00
United States, Consumer credit, total, Absolute change for Jul 2021 (FED, U.S.) at 17.00 Bln USD (vs 37.69 Bln USD prior), below consensus estimate of 25.00 Bln USD
United States, JOLTS Job Openings for Jul 2021 (BLS, U.S Dep. Of Lab) at 10.93 Mln (vs 10.07 Mln prior), above consensus estimate of 10.00 Mln

FX Majors Performance | Sources: ϕpost, Refinitiv data

US Dollar Index | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

US-GERMANY: -0.9 bp at 144.8 bp (YTD change: +33.7 bp)
US-JAPAN: -1.8 bp at 91.8 bp (YTD change: +43.5 bp)
US-CHINA: -3.0 bp at -186.3 bp (YTD change: +70.8 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

US-GERMANY: -3.8 bp at 79.8 bp (YTD change: +33.7bp)
US-JAPAN: -5.1 bp at -84.6 bp (YTD change: +16.9bp)
JAPAN-GERMANY: +1.3 bp at 164.4 bp (YTD change: +16.8bp)

CN DE JP US 5Y Rates Differentials | Sources: ϕpost, Refinitiv data

US DE JP Real 10Y Yield Differentials | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

Deutsche Bank USD Currency Volatility Index currently at 5.73, up 0.07 (YTD: -1.44)
Euro 1-Month At-The-Money Implied Volatility currently at 5.20, up 0.2 (YTD: -1.5)
Japanese Yen 1M ATM IV unchanged at 5.20 (YTD: -0.9)
Offshore Yuan 1M ATM IV currently at 3.56, down -0.1 (YTD: -2.4)

EUR CNH JPY 1-Month 10-delta risk reversals | Sources: ϕpost, Refinitiv data

EUR CNH JPY 1-Month ATM Implied Vols | Sources: ϕpost, Refinitiv data

NOTABLE MOVES IN SOVEREIGN CDS TODAY

Brazil (rated BB-): up 4.0 basis points to 175 bp (1Y range: 141-252bp)
Chile (rated A-): up 0.8 basis points to 63 bp (1Y range: 43-75bp)
Peru (rated BBB+): up 0.9 basis points to 84 bp (1Y range: 52-101bp)
Nigeria (rated B): up 3.5 basis points to 333 bp (1Y range: 331-383bp)
Ethiopia (rated CCC): up 4.0 basis points to 384 bp (1Y range: 382-442bp)
Lebanon (rated CC): up 32.5 basis points to 3,197 bp (1Y range: 3,179-3,683bp)
Kenya (rated B+): up 4.0 basis points to 394 bp (1Y range: 392-454bp)
Senegal (rated ): up 3.5 basis points to 355 bp (1Y range: 353-409bp)
Ecuador (rated WD): up 1.5 basis points to 157 bp (1Y range: 156-181bp)
Pakistan (rated B-): up 3.5 basis points to 366 bp (1Y range: 362-512bp)

CDX EM Sovereign Credit Spread | Sources: phipost.com, Refinitiv data

LARGEST FX MOVES TODAY

Ghanaian Cedi up 1.3% (YTD: -3.3%)
Sri Lanka Rupee down 0.8% (YTD: -7.7%)
Cambodia Riel down 0.8% (YTD: -0.8%)
Canadian Dollar down 0.9% (YTD: +0.4%)
Turkish Lira down 0.9% (YTD: -12.2%)
Cape Verde Escudo down 0.9% (YTD: 0.0%)
Sierra Leon Leon down 0.9% (YTD: -3.6%)
Chilean Peso down 1.0% (YTD: -9.8%)
Haiti Gourde down 1.3% (YTD: -27.0%)
Tonga Pa'anga down 1.5% (YTD: +1.2%)

YTD BIGGEST WINNERS & LOSERS

Seychelles rupee up 66.7%
Mozambique metical up 15.4%
Argentine Peso down 14.2%
Ethiopian Birr down 15.2%
Haiti Gourde down 27.0%
Surinamese dollar down 34.0%
Syrian Pound down 49.4%
Libyan Dinar down 70.4%
Venezuela Bolivar down 73.3%
Sudanese Pound down 87.5%