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Market Research 08/05/2017
Market Research
08/05/2017
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Monday, May 08, 2017 15:30 GMT Dominant Events of the Period
Yellow Area
October 17
06:30 - 16:00
German Buba
President Speech
Canadian CPI
Fed Yellen Speech
US Housing Starts,
Building Permits,
UoM Flash Consumer
Sentiment
Turquoise Area
October 21
06:30 - 15:30
RBA Deputy Governor
Speech
US Existing Home
Sales
Blue Area
October 22
07:30 - 14:30
BoE Minutes, Rate
Vote
US CPI
Canadian Retail Sales,
BoC Rate Statement,
Monetary Policy
Report
Purple Area
October 23
06:00 - 14:00
German and Euro
Zone Flash
Manufacturing,
Services PMI
UK Retail Sales
US Jobless Claims,
Housing Price Index,
Flash Manufacturing
PMI, CB Leading
Indicator
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Monday, May 08, 2017 13:30 GMT Major Events of the Period
Time (GMT) Flag Currency Event Currency Index Volatility Peak
MONDAY, 1 MAY
13:30 CAD Manufacturing PMI -0.26% 0.04%
14:00 USD ISM Manufacturing PMI, ISM Manufacturing Prices -0.04% 0.03%
TUESDAY, 2 MAY
04:30 AUD RBA Interest Rate Decision, Rate Statement +0.11% 0.04%
WEDNESDAY, 3 MAY
22:45 NZD Unemployment Rate, Employment Change +0.34% 0.07%
08:30 GBP PMI Construction -0.12% 0.04%
THURSDAY, 4 MAY
12:30 EUR Trade Balance +0.21% 0.05%
FRIDAY, 5 MAY
03:00 NZD RBNZ Inflation Expectations +0.24% 0.07%
12:30 USD Unemployment Rate, Nonfarm Payrolls, Average Hourly Earnings -0.14% 0.04%
12:30 CAD Unemployment Rate, Net Change in Employment -0.14% 0.06%
Relative Currency Strength
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Monday, May 08, 2017 13:30 GMT
The past period saw more moderate developments than
the one before it, and was notable for very little
reaction to actual economic news. Nevertheless, the
week was mostly positive for the observed currencies,
as most of them posted positive or near-zero changes.
Among the gauges from the latter group were the
Pound’s and the Greenback’s indexes, which showed
strong uptrends and took the top performers’ positions
in the previous period, but spent most of past week
near the baseline. The liveliest of the “unchanged”
indexes was the Loonie’s measure, which performed
feebly in the previous period and experienced quite a
rollercoaster in the past one, falling below the -0. 5%
line twice and then climbing back to the baseline.
Unsurprisingly, the CAD Index was largely governed by
the oil prices. Both of its downslides were fueled by the
declines in the commodity’s prices, with the influence
strong enough to overpower the CAD Index’s positive
reaction to the upsurge in exports and narrowing trade
deficit reported on Thursday. Similarly, the upsurge in
oil prices gave the Loonie’s gauge a sharp push on
Friday, turning around its initial reaction to mixed
employment data.
Meanwhile, the EUR Index extended its previous
period’s gains, generously supported by the polls
predicting Emmanuel Macron’s victory in the French
presidential election.
Dukascopy Bank SA, Route de Pre-Bois 20, International Center Cointrin, Entrance H, 1215 Geneva 15, Switzerland tel: +41 (0) 22 799 4888, fax: +41 (0) 22 799 4880 [email protected]
This served to highlight the wavelike nature of the currency’s
development.
Some interesting results were delivered by the pair-wise changes.
The Loonie’s last-minute upsurge on Friday caused the USD/CAD
to post a 0.13% loss despite the Greenback’s index dominating
over its Canadian peer throughout the period.
Meanwhile, the week’s greatest growth was posted by EUR/JPY,
even as the single currency itself lost 0.08% in the pair against the
New Zealand Dollar. The Yen’s weekly decline against the Kiwi
stood at 2.03%.
The past tendencies also persisted in the Aussie’s development, whose index deepened the previous period’s losses to become on of two gauges to
post substantial negative changes. The AUD Index started the week with a strong recovery and reached its period’s high with the release of the RBA
rate statement. But there the momentum reversed, and the gauge went into a long downtrend on early Wednesday, bouncing from the -1.50% line
on Friday and ultimately posting a -1.10% weekly change. 0.38% below the Aussie’s index was its Japanese counterpart, which turned its previous
period’s feebleness into a downslide and spent most of the week below its peers.
On the long-term basis, the JPY Index extended its 4- and 52-week losses to over 2%, while its 52-week change almost reached -7.50%. The Aussie’s
tumble, in turn, left little impact negative on its long-term results, with the index’s 52-week growth coming in greater than in the previous period.
Monday, May 08, 2017 13:30 GMT
Currency Volatility
Dukascopy Bank SA, Route de Pre-Bois 20, International Center Cointrin, Entrance H, 1215 Geneva 15, Switzerland tel: +41 (0) 22 799 4888, fax: +41 (0) 22 799 4880 [email protected]
The past period was notably calmer than the previous one
and was clearly dominated by the Canadian and the New
Zealand Dollars, with six highest volatility waves being
formed by these two currencies. Interestingly, most of
these waves contained more than one peak, indicating
prolonged periods of turbulence.
The highest volatility level was reached by the Loonie’s
pairs amid the Canadian currency ‘s sharp reaction to an
upturn in oil prices. The averaged measure reached 0.08%,
0.36% below the previous period’s high, with AUD/CAD
and CAD/USD showing the weakest reactions to the
Loonie’s move.
Somewhat uncharacteristically for the observed period,
the highest volatility peaks produced by the Kiwi’s pairs
were actually connected with the economic data releases.
In early Asia-Pacific Wednesday session, the Kiwi was
pushed up upbeat labor data, with both unemployment
rate and employment change coming in better-than-
expected. The pairs’ reaction was fairly uniform, with the
average at 0.07% and only AUD/NZD standing out for a
lower value of 0.06%. Friday saw another uptick in the
Kiwi’s rate, fueled by the RBNZ two-year inflation
expectations rising to 2.17%. Notably, though, the highest
volatility was posted by NZD/JPY, which was the only pair
whose post-release decline was sharper than the initial
upsurge.
Monday, May 08, 2017 13:30 GMT
Dukascopy Bank SA, Route de Pre-Bois 20, International Center Cointrin, Entrance H, 1215 Geneva 15, Switzerland tel: +41 (0) 22 799 4888, fax: +41 (0) 22 799 4880 [email protected]
Currency Pair Correlations
Weekly correlation medians were little different from the
monthly readings. Most developments concerned slight
shifts in the bonds between the pairs with the Euro, the
Pound, the Yen, and the US Dollar.
One of such developments was the apparent decline of the
Yen’s strength. It was implied by lowered EUR/JPY & USD/
JPY and GBP/JPY & USD/JPY correlation medians and
heightened EUR/JPY & EUR/USD and GBP/JPY & GBP/USD.
Meanwhile, the bond between the Pound and the Euro
seemed to be stronger than usual as the median value of
the EUR/JPY & GBP/JPY correlation edged up compared to
monthly value while the reading for EUR/GBP & GBP/CHF
declined.
Among other currencies the Loonie seemed to dominate
over the Euro and the US Dollar, which was indicated by
the mix of lowered correlations between EUR/CAD and
EUR/USD, and strengthened bond between EUR/CAD and
USD/CAD.
As with most other indicators in the past week, no
economic events seemed to have clear impact on the top
ten changed correlations.
Monday, May 08, 2017 13:30 GMT
Dukascopy Bank SA, Route de Pre-Bois 20, International Center Cointrin, Entrance H, 1215 Geneva 15, Switzerland tel: +41 (0) 22 799 4888, fax: +41 (0) 22 799 4880 [email protected]
Monday, May 08, 2017 13:30 GMT EXPLANATIONS
Violin Plot
Violin Plot combines several rotated Kernel Density
Plots for ease of comparison
Relative Density
Ob
serv
ed V
alu
es
Density Plots:
26-week
4-week
1-week
Medians:
1-week
4-week
26-week
Dukascopy Bank SA, Route de Pre-Bois 20, International Center Cointrin, Entrance H, 1215 Geneva 15, Switzerland tel: +41 (0) 22 799 4888, fax: +41 (0) 22 799 4880 [email protected]
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