FX
The US Dollar Index Rises To Kick Off A Big Macro Week, With The BoC, BoJ And ECB Decisions All Lined Up
The euro, yen and Canadian dollar all fell ahead of those important meetings, although implied volatilities are low and skews point to low expectations for those events
Published ET
US Dollar Index & DX Options 1-Month ATM Implied Volatility | Sources: ϕpost, Refinitiv data
QUICK SUMMARY
- The US Dollar Index is up 0.27% at 93.83 (YTD: +4.28%)
- Euro down 0.40% at 1.1600 (YTD: -5.0%)
- Yen down 0.28% at 113.77 (YTD: -9.3%)
- Onshore Yuan unchanged at 6.3856 (YTD: +2.2%)
- Swiss franc down 0.49% at 0.9205 (YTD: -3.8%)
- Sterling up 0.08% at 1.3762 (YTD: +0.7%)
- Canadian dollar down 0.06% at 1.2379 (YTD: +2.9%)
- Australian dollar up 0.44% at 0.7497 (YTD: -2.6%)
- NZ dollar up 0.17% at 0.7165 (YTD: -0.3%)
MACRO DATA RELEASES
- Germany, IFO Business Climate Germany Expectation (Incl. Services), Volume Index for Oct 2021 (IFO, Univ. of Munich) at 95.40 (vs 97.30 prior), below consensus estimate of 96.40
- Germany, IFO Business Climate Germany Situation (Incl. services), Volume Index for Oct 2021 (IFO, Univ. of Munich) at 100.10 (vs 100.40 prior), above consensus estimate of 99.40
- Kazakhstan, Policy Rates, Base Repo Rate for Oct 2021 (NBK, Kazakhstan) at 9.75 % (vs 9.50 % prior), in line with consensus
GLOBAL 5-YEAR NOMINAL INTEREST RATES DIFFERENTIALS
- US-GERMANY: +0.3 bp at 162.9 bp (YTD change: +51.8 bp)
- US-JAPAN: -2.9 bp at 125.3 bp (YTD change: +77.0 bp)
- US-CHINA: -2.6 bp at -164.7 bp (YTD change: +92.4 bp)
GLOBAL 10-YEAR REAL INTEREST RATES DIFFERENTIALS
- US-GERMANY: +0.5 bp at 95.1 bp (YTD change: +49.0bp)
- US-JAPAN: -3.4 bp at -67.0 bp (YTD change: +34.5bp)
- JAPAN-GERMANY: +3.9 bp at 162.1 bp (YTD change: +14.5bp)
VOLATILITIES TODAY
- Deutsche Bank USD Currency Volatility Index currently at 6.14, down -0.01 (YTD: -1.03)
- Euro 1-Month At-The-Money Implied Volatility currently at 4.81, up 0.2 (YTD: -1.9)
- Japanese Yen 1M ATM IV unchanged at 6.43 (YTD: +0.3)
- Offshore Yuan 1M ATM IV currently at 3.95, up 0.1 (YTD: -2.0)
NOTABLE MOVES IN SOVEREIGN CDS TODAY
- Egypt (rated B+): up 18.8 basis points to 459 bp (1Y range: 283-464bp)
- Oman (rated BB-): up 3.9 basis points to 249 bp (1Y range: 223-452bp)
- Turkey (rated BB-): up 6.9 basis points to 459 bp (1Y range: 282-560bp)
- Argentina (rated CCC): up 22.6 basis points to 2,359 bp (1Y range: 1,071-2,374bp)
- Colombia (rated BB+): down 1.3 basis points to 154 bp (1Y range: 83-175bp)
- Vietnam (rated BB): down 1.2 basis points to 101 bp (1Y range: 89-123bp)
- Malaysia (rated BBB+): down 0.8 basis points to 55 bp (1Y range: 33-64bp)
- Russia (rated BBB): down 1.3 basis points to 80 bp (1Y range: 72-117bp)
- Peru (rated BBB): down 1.7 basis points to 83 bp (1Y range: 52-105bp)
- Chile (rated A-): down 2.3 basis points to 84 bp (1Y range: 43-89bp)
LARGEST FX MOVES TODAY
- Liberian Dollar up 2.9% (YTD: +7.3%)
- Brazilian Real up 1.7% (YTD: -6.5%)
- Chilean Peso up 1.1% (YTD: -12.0%)
- Korean Won up 0.8% (YTD: -7.0%)
- South Africa Rand up 0.8% (YTD: -0.2%)
- Venezuela Bolivar down 0.8% (YTD: -74.0%)
- Malawi Kwacha down 0.8% (YTD: -6.3%)
- Cape Verde Escudo down 1.0% (YTD: -1.9%)
- Haiti Gourde down 1.9% (YTD: -28.2%)
- CFA Franc BEAC down 2.9% (YTD: -5.0%)
YTD BIGGEST WINNERS & LOSERS
- Seychelles rupee up 62.8%
- Turkish Lira down 22.5%
- Haiti Gourde down 28.2%
- Myanmar Kyat down 30.7%
- Surinamese dollar down 33.7%
- Syrian Pound down 49.4%
- Libyan Dinar down 70.6%
- Venezuela Bolivar down 74.0%
- Sudanese Pound down 87.5%