FX

US Dollar Drops As Risk-On Sentiment Takes 1-Month ATM Implied Volatility To Lowest Level In Covid Era

Yen risk reversals are still at elevated levels (skewed to JPY weakness), while euro and offshore yuan RRs are coming closer to home, with much less directional clarity in the short-term

Published ET

US Dollar Index & DX Options 1-Month ATM Implied Volatility | Sources: ϕpost, Refinitiv data

US Dollar Index & DX Options 1-Month ATM Implied Volatility | Sources: ϕpost, Refinitiv data

Twitter iconFacebook iconLinkedIn iconemail iconWhatsApp icon

QUICK SUMMARY

  • The US Dollar Index is down -0.18% at 93.61 (YTD: +4.03%)
  • Euro up 0.19% at 1.1654 (YTD: -4.6%)
  • Yen up 0.06% at 114.31 (YTD: -9.7%)
  • Onshore Yuan down 0.19% at 6.3936 (YTD: +2.1%)
  • Swiss franc up 0.47% at 0.9188 (YTD: -3.6%)
  • Sterling up 0.22% at 1.3825 (YTD: +1.1%)
  • Canadian dollar up 0.36% at 1.2316 (YTD: +3.4%)
  • Australian dollar up 0.66% at 0.7521 (YTD: -2.2%)
  • NZ dollar up 0.64% at 0.7198 (YTD: +0.2%)

MACRO DATA RELEASES

  • Austria, HICP, Change P/P, Price Index for Sep 2021 (Statistics Austria) at 0.90 % (vs 0.00 % prior)
  • Austria, HICP, Change Y/Y for Sep 2021 (Statistics Austria) at 3.30 % (vs 3.20 % prior)
  • Canada, CPI, All items, Change P/P, Price Index for Sep 2021 (CANSIM, Canada) at 0.20 % (vs 0.20 % prior), above consensus estimate of 0.10 %
  • Canada, CPI, All items, Change Y/Y for Sep 2021 (CANSIM, Canada) at 4.40 % (vs 4.10 % prior), above consensus estimate of 4.30 %
  • Canada, CPI, Core CPI (Bank of Canada), Change P/P, Price Index for Sep 2021 (CANSIM, Canada) at 0.30 % (vs 0.20 % prior)
  • Canada, CPI, Core CPI (Bank of Canada), Change Y/Y, Price Index for Sep 2021 (CANSIM, Canada) at 3.70 % (vs 3.50 % prior)
  • Euro Zone, CPI, Change P/P, Price Index for Sep 2021 (Eurostat) at 0.50 % (vs 0.40 % prior), in line with consensus estimate
  • Euro Zone, CPI, Change Y/Y for Sep 2021 (Eurostat) at 3.40 % (vs 3.40 % prior), in line with consensus estimate
  • Euro Zone, CPI, Total excluding energy, food, alcohol and tobacco, Change Y/Y for Sep 2021 (Eurostat) at 1.90 % (vs 1.90 % prior), in line with consensus estimate
  • Euro Zone, HICP, Overall index excluding energy, food, alcohol and tobacco, Change P/P for Sep 2021 (Eurostat) at 0.50 % (vs 0.50 % prior), in line with consensus estimate
  • Germany, Producer Prices, Total industry, Change P/P, Price Index for Sep 2021 (Destatis) at 2.30 % (vs 1.50 % prior), above consensus estimate of 1.00 %
  • Germany, Producer Prices, Total industry, Change Y/Y, Price Index for Sep 2021 (Destatis) at 14.20 % (vs 12.00 % prior), above consensus estimate of 12.70 %
  • Mauritius, Policy Rates, Key Repo Rate for Q3 2021 (Bank of Mauritius) at 1.85 % (vs 1.85 % prior)
  • Namibia, Policy Rates, Bank Rate for Oct 2021 (Bank of Namibia) at 3.75 % (vs 3.75 % prior)
  • Poland, Producer Prices, Total industry, Change Y/Y for Sep 2021 (CSO, Poland) at 10.20 % (vs 9.50 % prior), above consensus estimate of 10.00 %
  • Poland, Production, Change Y/Y for Sep 2021 (CSO, Poland) at 8.80 % (vs 13.20 % prior), above consensus estimate of 8.00 %
  • Russia, Producer Prices, Change P/P for Sep 2021 (RosStat, Russia) at -1.00 % (vs 1.50 % prior)
  • Slovakia, HICP, Change P/P, Price Index for Sep 2021 (Stat Office of SR) at 0.80 % (vs 0.20 % prior), below consensus estimate of 1.80 %
  • Slovakia, HICP, Change Y/Y, Price Index for Sep 2021 (Stat Office of SR) at 4.00 % (vs 3.30 % prior), below consensus estimate of 5.10 %
  • Slovakia, Unemployment, Rate, Total, registered for Sep 2021 (UPSVAR, Slovakia) at 7.10 % (vs 7.40 % prior), below consensus estimate of 7.25 %
  • South Africa, CPI, Urban Areas, Headline, Change P/P, Price Index for Sep 2021 (Statistics, SA) at 0.20 % (vs 0.40 % prior), below consensus estimate of 0.25 %
  • South Africa, CPI, Urban Areas, Headline, Change Y/Y, Price Index for Sep 2021 (Statistics, SA) at 5.00 % (vs 4.90 % prior), in line with consensus estimate
  • Taiwan, Export Orders Received, Change Y/Y for Sep 2021 (MoEA, Taiwan) at 25.70 % (vs 17.60 % prior), above consensus estimate of 17.00 %
  • United Kingdom, CPI, All items (CPI), Change P/P, Price Index for Sep 2021 (ONS, United Kingdom) at 0.30 % (vs 0.70 % prior), below consensus estimate of 0.40 %
  • United Kingdom, CPI, All items (CPI), Change Y/Y for Sep 2021 (ONS, United Kingdom) at 3.10 % (vs 3.20 % prior), below consensus estimate of 3.20 %
  • United Kingdom, Input Prices, Materials and fuel purchased, all manufactured products, Change P/P for Sep 2021 (ONS, United Kingdom) at 0.40 % (vs 0.40 % prior), below consensus estimate of 1.00 %
  • United Kingdom, Input Prices, Materials and fuel purchased, all manufactured products, Change Y/Y for Sep 2021 (ONS, United Kingdom) at 11.40 % (vs 11.00 % prior), below consensus estimate of 11.60 %
  • United Kingdom, Output Prices, All manufactured products, Change P/P, Price Index for Sep 2021 (ONS, United Kingdom) at 0.50 % (vs 0.70 % prior), in line with consensus estimate
  • United Kingdom, Output Prices, All manufactured products, Change Y/Y, Price Index for Sep 2021 (ONS, United Kingdom) at 6.70 % (vs 5.90 % prior), below consensus estimate of 6.80 %
  • United Kingdom, Output Prices, Manufacturing other than food, beverages, tobacco and petroleum products, Change P/P, Price Index for Sep 2021 (ONS, United Kingdom) at 0.50 % (vs 1.00 % prior)
  • United Kingdom, Output Prices, Manufacturing other than food, beverages, tobacco and petroleum products, Change Y/Y, Price Index for Sep 2021 (ONS, United Kingdom) at 5.90 % (vs 5.30 % prior)
  • United Kingdom, Retail Prices, All items (RPI), Change P/P for Sep 2021 (ONS, United Kingdom) at 0.40 % (vs 0.60 % prior), above consensus estimate of 0.20 %
  • United Kingdom, Retail Prices, All items (RPI), Change Y/Y for Sep 2021 (ONS, United Kingdom) at 4.90 % (vs 4.80 % prior), above consensus estimate of 4.70 %
  • United Kingdom, Retail Prices, All items excluding mortgage interest payments (RPIX), Change Y/Y for Sep 2021 (ONS, United Kingdom) at 5.00 % (vs 4.90 % prior)
FX Majors Today | Sources: ϕpost, Refinitiv dataEuro Spot & 1-Month 10-Delta Risk Reversal | Sources: ϕpost, Refinitiv data

GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: +3.0 bp at 163.9 bp (YTD change: +52.8 bp)
  • US-JAPAN: +1.2 bp at 125.4 bp (YTD change: +77.1 bp)
  • US-CHINA: -0.7 bp at -168.2 bp (YTD change: +88.9 bp)

GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS

  • US-GERMANY: -1.7 bp at 94.6 bp (YTD change: +48.5bp)
  • US-JAPAN: -2.2 bp at -59.6 bp (YTD change: +41.9bp)
  • JAPAN-GERMANY: +0.5 bp at 154.2 bp (YTD change: +6.6bp)
US CN DE JP 5Y Rates Differentials | Sources: ϕpost, Refinitiv dataUS DE JP 10Y Real Yields Differentials | Sources: ϕpost, Refinitiv data

VOLATILITIES TODAY

  • Deutsche Bank USD Currency Volatility Index currently at 6.22, up 0.03 (YTD: -0.95)
  • Euro 1-Month At-The-Money Implied Volatility currently at 4.85, down -0.2 (YTD: -1.8)
  • Japanese Yen 1M ATM IV unchanged at 6.25 (YTD: +0.2)
  • Offshore Yuan 1M ATM IV unchanged at 3.98 (YTD: -2.0)

NOTABLE MOVES IN SOVEREIGN CDS TODAY

  • Brazil (rated BB-): up 3.6 basis points to 212 bp (1Y range: 141-229bp)
  • Peru (rated BBB): down 0.9 basis points to 84 bp (1Y range: 52-105bp)
  • Malaysia (rated BBB+): down 0.6 basis points to 56 bp (1Y range: 33-64bp)
  • Oman (rated BB-): down 2.7 basis points to 251 bp (1Y range: 223-452bp)
  • Colombia (rated BB+): down 1.9 basis points to 155 bp (1Y range: 83-175bp)
  • Vietnam (rated BB): down 1.5 basis points to 102 bp (1Y range: 89-123bp)
  • Indonesia (rated BBB): down 1.2 basis points to 82 bp (1Y range: 66-97bp)
  • Egypt (rated B+): down 6.9 basis points to 441 bp (1Y range: 283-464bp)
  • Turkey (rated BB-): down 6.9 basis points to 439 bp (1Y range: 282-560bp)
  • Russia (rated BBB): down 1.9 basis points to 80 bp (1Y range: 72-117bp)

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

LARGEST FX MOVES TODAY

  • Zimbabwe Dollar up 3.3% (YTD: +13.8%)
  • Liberian Dollar up 1.8% (YTD: +3.4%)
  • North Macedonian denar up 1.1% (YTD: -5.1%)
  • Angolan Kwanza up 1.0% (YTD: +8.8%)
  • Haiti Gourde up 1.0% (YTD: -26.1%)
  • Ghanaian Cedi up 1.0% (YTD: -2.6%)
  • Turkish Lira up 0.9% (YTD: -19.3%)
  • Ugandan shilling up 0.9% (YTD: +1.0%)
  • South Africa Rand up 0.9% (YTD: +1.9%)
  • North Antilles Guilder down 1.2% (YTD: 0.0%)

YTD BIGGEST WINNERS & LOSERS

  • Seychelles rupee up 43.3%
  • New zambian kwacha up 23.9%
  • Ethiopian Birr down 17.1%
  • Turkish Lira down 19.3%
  • Haiti Gourde down 26.1%
  • Surinamese dollar down 33.7%
  • Syrian Pound down 49.4%
  • Libyan Dinar down 70.6%
  • Venezuela Bolivar down 73.4%
  • Sudanese Pound down 87.5%