Dukascopy Market and Economic Research

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The past week was largely negative for the observed indexes, as only the Euro’s, the Greenback’s, and the Kiwi’s gauges managed to post positive changes.



With numerous jumps and falls of the currency indexes, the past week was the most turbulent in September so far.

The median volatility levels ranged from 0.035% for the Euro and the Dollar to 0.041-0.043% for the Kiwi and the Pound.



The period’s top changed correlation medians posted the greatest shifts from the monthly readings since the beginning of August, with nine of the ten chosen gauges describing the relationship between the Pound’s pairs.

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The past period saw the observed indexes change in a moderate range of ±1.25%, with most measures posting negative results.

The weekend was marked by the long-awaited elections in New Zealand and Germany, and both the Kiwi’s and the Euro’s indexes opened the period with notable drops from Friday’s levels.

Meanwhile, the CHF and JPY indexes skyrocketed on Monday, when the North Korea’s foreign minister stated that the US President’s Twitter message was a declaration of war against North Korea.

The week’s sharpest fall was suffered by the Loonie’s gauge, which lost 0.53 pp in its immediate reaction to the BoC governor’s speech.



The last week of September retained the tendency to overturbulence that was observed throughout the month.

For the third period in a row, the highest median volatility levels were posted by the Pound and the Kiwi with the readings of 0.041% and 0.043%, respectively.



The past week saw moderate shifts between the weekly and the monthly correlation medians, with most of the changes, similarly to the previous period, coming from the Pound’s and the Dollar’s pairs.

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The past period saw the observed indexes move in a range between +1.4% and -1.9%, with most of the measures posting positive weekly changes.

The leader in the negative area was the Pound’s index, which posted its greatest loss since mid-July.

Meanwhile, the JPY Index posted its greatest weekly gain since early August, joining the Greenback’s measure in its upsurge on Thursday and finishing the period only 0.05 pp above its US peer.



The past period was notably less turbulent than its September predecessors, with the median volatility levels ranging from 0.025-0.026% for the Euro and the Loonie to 0.032% for the NZ Dollar.

Interestingly, though, the relatively tranquil Loonie managed to form two of the three highest volatility peaks.



The period saw quite modest deviations between the weekly and the monthly correlation medians, indicating that the week’s developments had little impact on the relationships between the chosen instruments.

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The past period saw the observed indexes change in a moderate range between -1.2% and +1.1%, with most of the indexes posting negative results.

The Pound’s index dominated its peers throughout most of the period, becoming one the three measures to post positive weekly changes and paring most of the losses it suffered in the previous period.

In the meantime, the other side of the baseline was dominated by the Greenback’s gauge, which suffered the week’s sharpest 10-minute drop with the release of the disappointing CPI numbers on Friday.



Market volatility remained largely unchanged from the previous period, with the levels still subsided compared to September readings.

The highest median volatility value of 0.034% was posted by the Kiwi, while the other observed currencies held the levels between the Euro’s reading of 0.025% and the Pound’s result of 0.029%.



Correlations, too, reiterated the previous period’s results, as the shifts between the weekly and the monthly medians observed in the past week were similarly modest.

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In the past week, most of the observed indexes moved in a moderate range between -0.85% and +1.30%, with a notable skew to the upside and five of the eight gauges finishing the period above the baseline.

An obvious exception was the Kiwi’s index, which fell below the -2.00% mark and posted its greatest weekly loss since late April.

The USD Index the only gauge to spend the whole period above the baseline and posted a 1.24% weekly gain – its highest result since the start of our observations in April.



The past period was slightly more turbulent than the previous week, with most of the currencies posting median volatility levels of 0.028-0.030%.

For the second week in a row, the highest medians by the Pound’s and the Kiwi’s measures with the reading of 0.034% and 0.037%, respectively.



The past week saw quite moderate shifts between the weekly and the monthly correlation medians.

The greatest changes seemed to be caused by the Loonie’s moves and to highlight the Canadian currency’s pull on its peers.

The Kiwi’s moves also did not go unnoticed by the correlations.

Additionally, some interesting developments were observed in the bonds between the Greenback and the Yen.

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The past week saw the observed measures move in a range of ±1.5%, making sharp moves starting from Wednesday. The Yen’s index became the absolute leader in the positive area past week. In the beginning of the week, the results of the general elections in Japan were announced, showing that the Liberal Democratic Party’s leader, Shinzo Abe, had scored a major victory. As a result, the safe-haven Yen’s index strengthened on Monday and continued to climb until Friday, finishing the period with a gain of 1.27% and posting the best result since August.



Market volatility was slightly more turbulent than the previous period. The highest median volatility value of 0.040% was posted by the Kiwi, while the other observed currencies held the levels between the Euro’s and the Loonie’s readings of 0.028% and the Pound’s result of 0.032%.



The past period saw quite modest deviations between the weekly and the monthly correlation medians, with only one reading reaching above 0.10 points. The most notable shift was showed by the bond between EUR/CAD and EUR/USD, whose weekly median gained 0.15 points compared to the monthly value.

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The past period saw most of the observed currencies keep their indexes in a relatively narrow range between -0.50% and +0.50%, but there were notable exceptions on both sides of the baseline.

The Pound’s index made the sharpest moves both up and down in the past week, but ultimately ended up posting its largest gain since late August.

The Loonie’s index, in turn, became the best performer of the past week, despite spending most of the time below the baseline.



Volatility readings stood slightly lower in the past period compared to the previous one, with most of the median levels reported at 0.029-0.031%.
On the lower side were the Euro’s and the Loonie’s values of 0.027-0.028%, while the highest median of 0.038% was posted by the Kiwi.



For the fifth week in a row there were little to no significant developments in the pairs’ correlations.

Some strengthening was recorded in the Loonie’s and the Greenback’s bond in the pairs with the Euro and the Australian Dollar.

Some of the chosen correlations were little changed from the monthly readings, but with that were noteworthy for remaining on abnormal levels.

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Much like the previous period, the past week saw the observed indexes move in a narrow range of ±0.50%, with only a few short-lived breakthroughs managed by some of the gauges.

The most notable of those gauges was the Pound’s index, which managed to both post the week’s high of +0.79% and suffer one the period’s greatest downslides.



On average, the past period was less turbulent than the previous one, with the Kiwi being the only observed currency to lift its median volatility above 0.030%, and all other readings ranging from 0.025% for the Euro to 0.029% for the Yen.



The relatively calm period saw quite modest deviations between the weekly and the monthly correlation medians, with the largest shift reaching 0.09 points.

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The past period saw relatively high activity from the observed currencies, with the Greenback’s index being the only measure to stick to the baseline and not cross the 0.50%-change marks.

The appreciation area was dominated by the safe haven indexes, while the other side of the baseline was populated by the commodity currencies.



The ups and downs seen in the currency indexes were also reflected in the market’s turbulence as the observed median volatility levels edged up from the previous period’s values.

Notably, the smallest reading of 0.028% was posted by the Loonie, while the usual tranquility leader, the Euro, shared the level of 0.029% with the Greenback.

Meanwhile, the most turbulent currencies were the Kiwi and the Pound with the medians of 0.034% and 0.037%, respectively.



In the past period, seven out of ten greatest differences between the weekly and the monthly correlations were prompted by the Pound’s moves, and all of them showed shifts away from the long-term distributions.

Half of all the chosen correlations consisted of the combinations between the Pound’s pairs, with all of them reporting strengthening of the bonds.

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After some palpable developments seen in the previous period, in the past week the observed currency indexes returned to the narrow range of ±0.50% change.

The most prominent exception was the Greenback’s gauge, which spent the previous period on the baseline, but suffered an almost 1.00% loss over the past week.

Another noteworthy gauge was the Euro’s index, which off with its two largest 10-minute falls, but surged up on Friday and became the week’s best performer.



With a notably smaller amount of sharp moves, the past period was less turbulent than the previous one, and most of the observed currencies held their volatility medians at 0.027-0.028%.

The only exceptions were the Pound and the Kiwi, whose readings stood at 0.030% and 0.033%, respectively.



The past period saw rather substantial shifts between weekly and monthly correlation medians, with seven of the top-ten gaps exceeding 0.10 points, and one of them reaching above 0.20 points.

Most of the strengthening took place in the EUR/USD correlations, while EUR/GBP correlations posted some of greatest medians’ declines.

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After moderate developments seen during the previous period, the observed currency indexes spent the past week in a range of ±1.0%, with two prominent exceptions that crossed these levels.

The first notable exception was the Pound’s index, which became the best performer of the past week.

The Loonie’s index was another exception, though this measure spent most of the week below the baseline.



Turbulence picked up compared to the previous period, with most of the median volatility levels recorded between 0.031% and 0.034%.

Interestingly, the lowest values were reported by the Greenback’s and the Loonie’s measures, while the Euro’s readings stood a notch higher at 0.032%.

The greatest median levels of 0.037% and 0.039% were reached by the Kiwi’s and the Pound’s gauges, respectively.



After the notable shifts reported by the correlation distributions in the previous period, the past week’s results were feeble. Only three of the chosen combinations moved their weekly medians more than 0.05 points away from the monthly levels, and none made the gap reach 0.10 points.

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Past week saw most of the observed currency indexes keep their indexes in a relatively moderate range of±1.0%, but there were two exceptions on both side of the baseline that crossed these levels.

The Pound's index, the previous week's best performer, spent the period making sharp moves as the market was awaiting for results of Brexit talks.
Meanwhile, the Greenback's index became the week's best performer.

The Loonie's index made sharp moves past week, experiencing the week's biggest plunge.

The Aussie's index was another measure that made sharp moves past week.



For the fourth period in a row, the highest median volatility levels were posted by the Pound and the Kiwi with the readings of 0.044% and 0.038%, respectively. The rest of the currencies posted median volatility levels of 0.30-0.033% past week.



The past period saw rather notable shifts between weekly and monthly correlation medians comparing to feeble results in the previous period, with eight of ten-top gaps exceeding 0.10 points.

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The past week was marked by rather directional development of the observed indexes.

The Yen’s and the Franc’s gauges were the only ones to remain in the ±0.5% range, while most of the other indexes followed trends that took them to more substantial levels.



The past period was slightly less turbulent than the previous one, with most of the currencies posting median volatility levels of 0.028-0.031%.

For the third week in a row the smallest median was reported by the Greenback, while the Pound and the Kiwi posted the highest values for the fifth consecutive period, with their readings standing at 0.036% and 0.035%, respectively.



The past period saw rather modest deviations between the weekly and the monthly correlation medians, with none of the readings reaching above 0.10 points.

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The first days of the new year saw the observed indexes fluctuate in the ±0.50% range, but later in the week some of the measures crossed the 100.5-point and 99.5-point levels.



Still, the period was roughly as tranquil as the Christmas week before it, with most of the observed volatility medians standing at the 0.024-0.026% level. The lowest median of 0.023% was posted by the Loonie, while the most turbulent were the Antipodean currencies, with the Aussie’s median volatility reaching 0.027% and the Kiwi’s reading standing at 0.029%. Interestingly, two of the week’s highest volatility peaks were formed by the Lonnie’s moves.



Correlations were the only measure to experience large developments over the holidays. Thus the deviations between weekly and monthly medians exceeded 0.10 points for seven out of ten chosen combinations, and even the three smaller readings stood above 0.08 points.

The greatest changes the greatest changes seemed to have taken place in the Pound’s relationship with the Euro.

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The past period marked the first full-scale trading week of the year, and the activity increased notably among the observed indexes.

The week’s main gainer was the Yen’s gauge, which showed the worst result in the previous period and now posted its greatest weekly growth since mid-November.

On the other side of the baseline, the Loonie’s gauge was in the lead, effectively negating the previous period’s skyrocketing move.



As was suggested by the currency indexes, the turbulence on the market returned to the average level after the tranquil holiday weeks.

Interestingly, three out of the six prominent volatility peaks of the week were reached on the back of news reports rather than economic releases.



The deviations between the weekly and the monthly correlations were not as pronounced as in the previous period, but still scored closer to the strong side, with seven out of ten displayed combinations posting at least 0.10 points shifts between short- and long-term medians.

Most of the prominent changes were related to the bonds between the European currencies, the Yen, and the Greenback.

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The past week saw the observed indexes move in a narrower range compared to the previous period, but was instead notable for numerous sharp changes, with the currencies reacting to both economic releases and news headlines.



Various ups and downs observed in the Currency Indexes were well reflected by the volatility measures, so the past week proved to be rather turbulent.

The lowest median volatility level stood at 0.033% and was posted by the Aussie, while the highest levels of 0.036% and 0.037% were reported by the Euro and the Greenback.



Correlations continued to show strong deviations between weekly and monthly values, with all of the ten selected combinations reporting gaps of over or close to 0.10 points between the medians.

As the US Dollar’s Currency Index experienced some rather uncharacteristic swaying, it was not surprising that the greatest anomalies were detected in the Greenback’s bonds.

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Filled with several major economic releases and general wariness amid the WEF in Davos, the past week was mixed for the observed currencies, as most of the indexes fluctuated within the ±0.50% range while some moved well away from the baseline.

The most notable among the latter was the USD Index, which spent the week in the negative area and nearly touched the -2.00% line in its low.



The past week was slightly more volatile than the previous one, with most of the median volatility levels standing between 0.035% and 0.040%.

For the second time in a row the highest median level was reached by the Greenback’s measure with the reading of 0.040%, while the lowest values of 0.032% were reported by the Euro’s and the Loonie’s gauges.

Interestingly, all of the week’s most notable volatility peaks took place during Thursday’s trading session.



Weekly correlations continued to experience large deviations from long-term distributions.

Moreover, much like in the previous period, the greatest developments were related to the Greenback, as all the selected combinations contained the US currency.

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The beginning of the past period saw the observed indexes struggle with the ±0.50% tunnel, but further down almost all gauges managed to break through the limits, with some showing rather notable developments. The most prominent one was the Aussie’s gauge which spent the previous week slightly below the baseline, but accumulated a 1.93% loss over the past week.

While maximum volatility levels reached in the past period were rather low, on average the week was notably turbulent. High median levels were posted by the Greenback (0.041%), the Kiwi (0.040%), the Yen and the Franc (0.038%), and the Pound (0.037%). The lowest median volatility of 0.033% was reported by the Euro.

Correlations between the currency pairs lost some of the variability observed in the previous periods, with only two of the selected combinations shifting their weekly medians more than 0.10 points away from the monthly levels.

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The past week was remarkable for elevated activity on the market as almost all of the observed indexes broke out of the ±0.50% range and some even drifted beyond the 1%-change mark.

The most prominent measure was the Yen’s index, which in its highest point crossed the +3.00% line.

The Pound’s index, in turn, became the absolute leader in the negative area, as it spent most of the period below its peers and posted its greatest weekly loss since early October.



The past period was notably overturbulent, with the lowest reported volatility median standing at 0.040% for the Euro.

The highest median levels, in turn, were reached by the measures of the Pound (0.049%), the Kiwi (0.051%), and the Yen (0.059%).



The past week saw some major shifts in the observed correlations, with the smallest gap between the weekly and the monthly medians standing at 0.14 points, and the greatest going as far as 0.56 points.

All of the selected combinations contained pairs with the Yen and the Franc, positioned in most cases against the Greenback.

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The past week became another active period for the observed currencies, with most of the indexes breaking out of the ±0.50% range, and three most changed gauges finishing the week beyond the ±1.00% lines.

The JPY Index continued to dominate over its counterparts as it posted the greatest weekly growth for the second period in a row.

Meanwhile, the Greenback’s index was the absolute “anti-leader”, finishing the week with 1.44% loss, pushing its YTD change back below the -3.00% line.



The observed currencies lost some of the previous period’s overturbulence, but still reported rather high volatility levels.

Most of the volatility medians lay between 0.034% and 0.037%, with the lowest readings of 0.032% posted by the Euro and the Loonie, and the highest value of 0.046% reported by the Yen.

The week’s highest volatility peaks were formed within the 90-minute period following the US CPI release on Wednesday.



The shifts in the weekly correlation distributions were also less dramatic than the ones seen in the previous period, but most of the selected combinations still managed to move their short-term medians over 0.10 points away from the monthly levels.

Almost all of the reported deviations were observed in the combinations with the safe-haven currencies – the Swiss Franc and the Yen.