Dukascopy Market and Economic Research

Market overview for December 10 – December 14 2018: Volatility picks up further. The Antipodeans finish the week on the opposite sides of the baseline. The USD Index posts its highest YTD gain so far, the GBP Index – its greatest YTD loss.
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The past week was notable for numerous rallies and downslides, with the Pound’s index returning to the spotlight amid Brexit developments and the Antipodeans being pushed around by the market’s mood.



The market’s turbulence picked up more steam from the previous period’s already elevated levels. The Euro was the only major to not push its volatility median above the 0.030% threshold, while the Pound’s, the Kiwi’s, and the Aussie’s measures continued to signal extreme changeability.



The most prominent developments were once again reported by the pairs with the Pound and the safe-havens.

Market overview for December 17 – December 21 2018: The Yen’s index posts the greatest weekly gain since the beginning of the year. The NZD Index’s YTD and the AUD Index’s QTD changes fall back to the negative area. Correlations between GBP/JPY and USD/JPY return to normal.
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The pre-holiday trading week proved to be relatively action-packed, with the strong market sentiment pushing the Yen’s and the commodity-related currencies’ index beyond the ±1.00% range, and some fundamentals eliciting rather sharp reactions.



The market’s turbulence picked up more steam in the year’s last full trading week, with all the observed volatility medians lying at or above the 0.030% threshold. The lowest values were reported by the Euro and the Greenback, while the most turbulent currencies were the Pound, the Kiwi, and the Yen. Notably, though, volatility maxima remained subdued, with only one peak reaching above the 0.100% mark.



The most notable changes were once again observed in correlations between GBP/JPY and USD/JPY, whose weekly readings shifted back to the moderately positive long-term levels. Meanwhile, EUR/USD showed changes in its bonds with the risky currency pairs.

Market overview for December 31, 2018 – January 4, 2019: December becomes the year’s worst month for the commodity-related currencies and the best for the Euro and the Yen. The CAD Index closes its worst 2018 quarter, the Yen’s and the Kiwi’s measures – their best.
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The Yen’s, the US Dollar’s, and the Swiss Franc’s indexes were the only ones to finish 2018 in the green, posting yearly gains of 7.83%, 4.57%, and 3.81%, respectively. The greatest yearly declines, in turn, were reported by the Aussie’s and the Loonie’s measures, which lost 6.91% and 4.90%.
Meanwhile, 2019 had a turbulent start as most of the indexes suffered sharp moves on late Wednesday, with many measure thus finishing the week outside of the ±0.50% range.



With numerous sharp moves observed during the past period, weekly volatility medians stood well above the monthly readings, which were relatively strong in themselves. The most turbulent currency was the Yen with the reading of 0.053%, and the smallest volatility medians were reported by Euro and the Greenback, though those, too, stood on solid levels of 0.035-0.036%.



With the short trading week, Wednesday’s sharp moves and the subsequent developments in the Asia-Pacific currency indexes had a great impact on the weekly correlations, and the observed distributions displayed peculiar extreme tails.

Market overview for January 7 – January 11, 2019: Volatility subsides, but remains on solid levels. The Antipodeans post the week’s greatest gains, the Loonie’s measure is supported by oil prices, and the GBP Index is pushed around by the Brexit headlines.
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The past week was notable for numerous sharp moves and sudden changes among the losers and winners, but the general developments pointed at predominantly risk-on mood, with the commodity-related indexes posting gains and the Swiss Franc’s, the Yen’s, and the US Dollar’s measures becoming the three worst performers.



The observed volatility medians pulled back from the extreme values of the previous periods, but remained on solid levels, with most of the readings ranging from 0.032% to 0.034%. The most tranquil currency was the Euro with the volatility median of 0.029%, and the most turbulent – the Yen with the reading of 0.040%.



The past saw very little deviations between the short-term and long-term bonds among the observed currencies. The greatest divergence was indicated by EUR/USD correlations with AUD/USD and NZD/USD, and, as usual, most of the selected combinations included the Pound’s pairs.

Market overview for January 14 – January 18, 2019: Brexit developments make the Pound’s index post its greatest weekly gain since early November, the USD Index reports its first weekly growth in 2019, and the Asia-Pacific measures are pushed around by the US-China headlines.
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Between the Brexit news, the sentiment around the US-China trade negotiations, and the USD Index’s recovery, the past week saw some major developments in the observed measures, with most of the indexes breaking out of the ±0.50% range.



Turbulence of the observed currencies remained roughly at the solid levels seen in the previous period. Among notable changes, the Swiss Franc joined the Euro in posting a below-0.030% volatility median, and the Pound reported an elevated reading of 0.043%.



The most extreme weekly distribution was reported by the correlations between GBP/CHF and GBP/USD, all of which stood above the long-term median, with correlations between AUD/USD and NZD/USD being the only ones to the result.

Market overview for January 21 – January 25, 2019: Volatility falls below monthly medians. The GBP Index reports its greatest gain, the NZ Dollar’s gauge erases previous loss, the Loonie’s index posts its first weekly loss in 2019, and the Euro’s and the Franc’s measures continue to decline.
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The past period was largely negative for the observed currencies, as most of the indexes reported weekly losses. The only exception were the Pound’s measure, which continued to gain fuel from Brexit developments, and the Kiwi’s index, which was spurred by upbeat 4Q CPI.



Volatility subsided in the past week compared to the solid levels that were observed since the start of December. Half of the observed currencies reported volatility medians below 0.030%, and the highest value, posted by the Pound, reached only 0.034%. The maximum levels, too, were moderate, and none of the peaks reached the 0.100% mark.



The past week’s most changed correlations marked the weakening in the bonds between the Antipodeans and the European currencies. Continuous weakening was also observed in GBP/USD correlations with EUR/USD, while the pair's correlations with GBP/CHF reported strengthening.

Market overview for January 28 – February 1, 2019: Volatility remains unchanged. Commodity-related indexes become the week’s best performers, the GBP Index reports its greatest weekly loss since November. The CAD Index posts greatest January growth, while the Swiss Franc’s measure becomes the month’s worst performer.
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The past week saw the tables turn for the commodity-related indexes and the Pound’s measure, with the former posting moderate 0.75% gains, and the latter tumbling by 1.22%. Another gauge to stand out was the USD Index, which suffered the week’s sharpest 10-minute fall.



Volatility of the observed currencies remained virtually unchanged from the previous period’s readings, with the Pound remaining the most turbulent currency and most of its peers posting below-0.030% volatility medians.



The greatest shift between weekly and long-term correlations observed in the previous period served to stress the divergence between the Pound and the safe-havens.

Market overview for February 4 – February 8, 2019: Overall volatility continues to decline, but individual peaks mark more overturbulent events than usual. The Dollar’s, the Yen’s, and the Franc’s indexes become the only measures to post weekly growth, while the Antipodeans erase the previous period’s gains.
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The past week was marked by notable activity among the observed indexes, with the safe-haven showing strong uptrends, and the measures derived from riskier instruments suffering various sharp moves.



Overall turbulence levels continued to deteriorate, with the Aussie and the Pound being the only majors to post volatility medians greater than 0.030%. The least turbulent were the Euro, the Swiss Franc, and the Greenback, all of whom reported the readings of 0.024%.
Volatility maxima, however, were notably stronger than usual, with five of the week’s prominent peaks reaching beyond the 0.100% level.



With the strong moves observed in the Aussie’s, the Pound’s, and the Kiwi’s indexes, unsurprisingly the top-three correlation combinations selected for the past period indicated the weakening in the bonds between the Dollar’s pairs with these currencies and EUR/USD.

Market overview for February 11 – February 15, 2019: The NZD Index posts its greatest weekly gain since the beginning of observations, while the European measures become the period’s three worst performers. Volatility remains subdued, but individual peaks reach the highest levels since January 2.
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In the past week, the observed index displayed somewhat muted activity, with most of the measures holding in relatively narrow ranges. The only gauges to finish the week in the positive area were the Antipodeans, which were the main losers in the previous period, while the Greenback’s index was the only former winner to retain most of its previous gains.



The market’s volatility remained subdued for the fourth week in a row, with only the Pound, the Yen, and the New Zealand Dollar posting median turbulence levels of over 0.030%. Nevertheless, maximum volatility peaks reached solid levels, with two highs jumping above the 0.200% mark.



The past week saw very little shifts in correlations between the observed currency pairs, and most of those indicated a normalisation from subdued monthly levels to slightly stronger half-yearly readings.

Market overview for February 18 – February 22, 2019: Volatility subsides further. The Pound’s index erases February losses, and Asia-Pacific measures become the week’s three worst performers.
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The past period saw the observed currency indexes split neatly into gainers and losers, with the US Dollar’s and the Asia-Pacific measures spending the period below the baseline, and the Loonie’s gauge posting growth along with Europeans.



General turbulence levels among the observed currencies continued to deteriorate, with the Antipodeans being the only ones to report growth in volatility medians. Maximum values also remained subdued, with most of the peak standing below the 0.050% line.



The only major shift in the bond between the observed currency pairs was reported by the correlations between GBP/JPY and USD/JPY, whose week’s values polarised, with the distribution showing two heads above and below the significance threshold of 0.50 points. Meanwhile, GBP/JPY correlations with GBP/USD showed considerable strengthening.

Market overview for February 25 – March 1, 2019: Volatility remains subdued. The Pound’s index becomes the best performer for the second week in a row, while the Asia-Pacific measures continue posting losses.
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While the Pound’s index extended the previous period’s pattern, the Greenback’s and the Loonie’s measures switched places, with the USD Index posting gains alongside its European peers, and the CAD Index reporting losses together with its Asia-Pacific counterparts.



Observed turbulence remained strongly subdued for the fourth period in a row, with the Aussie, the Kiwi, and the Pound continuing to be the only majors to post volatility medians of over 0.030%. Volatility maxima reached even lower than in the previous period, and the Pound was the only currency to push its aggregate above the 0.070% line.



Correlations selected for the period showed virtually no shifts from the long-term levels. The only noteworthy exception was the correlation between GBP/CHF and GBP/USD.

Market overview for March 4 – March 8, 2019: The JPY Index becomes the week’s best performer after three periods of solid losses, the USD Index posts positive YTD change for the first time since the beginning of the year, and the Pound’s measure repost greatest loss in 16 weeks.
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The past week saw most of the observed indexes fluctuate below the baseline, with the Yen’s, the US Dollar’s, and the Kiwi’s measure being the only ones to post weekly gains.



Despite numerous sharp moves observed in the currency index, the median volatility levels remained subdued, with the readings edging lower still from the previous period’s values. The only currencies to post median turbulence measure of or above 0.030% remained the Pound, the Kiwi, and the Aussie, with the Euro’s and the Greenback’s readings holding near record lows.



The greatest changes were reported by the chosen EUR/USD correlations, all of which posted abnormally many insignificant values, and an interesting shift was observed in correlations between AUD/CAD and USD/CAD.

Market overview for March 11 – March 15, 2019: The Brexit developments reign over market, with the GBP Index becoming the week’s only strong gainer and suffering elevated volatility. The Yen’s and the US Dollar’s measures erase most of their previous gains.
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The past week saw most of the observed indexes finish trading in a very narrow range between -0.18% and +0.17%. The only exceptions were the Yen’s and US Dollar’s measures, which closed the period with considerable losses, and the Pound’s gauge, which posted its strongest gain since January 21-25 rally.



With all the jumps and drops of the GBP Index, most of which were mirrored by its peers, the observed turbulence measures ticked up from the subdued levels of the past five periods. The Pound itself posted an extremely high volatility median of 0.050%, while the Loonie and the Asia-Pacific currencies reported solid readings of 0.030-0.032%.



As with the other indicators, the most prominent developments in correlations were observed for the Pound’s pairs. Some notable changes were also observed in AUD/NZD correlations with AUD/CAD and AUDUSD.

Market overview for March 18 – March 22, 2019: The CAD and GBP Index share the worst performer’s position, the Yen’s measure erases previous period’s loss. Volatility returns to subdued levels.
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With Brexit, the Fed, and some surprising fundamental releases sending strong signals to the major currencies, the past period saw some considerable developments in the observed indexes. The week’s top performers were represented by an unlikely trio of the Yen’s, the Swiss Franc’s, and the Kiwi’s measures, with the former two fully erasing their previous losses, while the latter extended gains it enjoyed in the two previous periods. On the other side of the baseline, the Pound’s and the Loonie’s gauges closed the week on par with palpable 0.90% losses, with the Canadian posting its fourth consecutive decline and pushing for its first negative month this year.



After edging to the historical norm of 0.030%, the observed volatility medians fell back to subdued levels in the past week, with the individual sharp moves being unable to fuel the general turbulence. The only two currencies to post median turbulence measures of over 0.030% were the Aussie and the Pound, while the only ones to see their volatility aggregates rise above the 0.100% mark were the Kiwi and the Greenback.



The main correlations selected for the period continued to signal changes in behaviour of the pairs containing the British Pound.

Market overview for March 25 – March 29, 2019: Q1 sees the safe-havens in the negative territory, while the commodity-related indexes post gains. With varying Brexit effects, the GBP Index becomes the worst performer in March, but posts the greatest Q1 growth. Volatility is pushed up by the pound, the Yen, and the Kiwi.
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With both the month and the quarter coming to an end, the past week was the year’s first major milestone for the observed measures. Posting its best result in 11 weeks, the AUD Index managed to push its monthly reading into the positive area and reaffirmed its quarterly growth after dismal February decline. The US Dollar’s measure, whose monthly growth hanged close to the zero levels after two periods of losses, also managed to cement its March standing, but the modest reading was not enough to outweigh the gauge’s January decline, leaving the USD Index with a minor 0.22% Q1 loss. Similarly, March gains reported by the Yen’s and the Franc’s indexes failed to pare their previous losses, and the two measures posted matching Q1 declines of 1.40% and 1.52%, respectively.

Meanwhile, the Canadian Dollar’s and the Pound’s indexes ended up in red on the monthly basis, but managed to retain most of the gains accumulated over January and February, becoming the two best performers of the Q1.



With the Brexit development pushing the Pound’s index around, the Yen’s gauge serving as the counterweight to all major moves, and the Kiwi’s measure being undermined by the RBNZ, the three currencies reported elevated volatility levels, pushing the majors’ average reading to the long-time norm after nine periods of subdued results. The Aussie’s, the Loonie’s, and the Greenback’s turbulence measures also posted median levels of 0.030%, while the Franc’s and the Euro’s gauge reported values of 0.029% – below the threshold, but still above many previous readings.



Correlations selected for the period served to underscore the continuing strength of the Pound’s Brexit-fuelled movements, and some shift in the bonds between the commodity-related currencies.

The most notable remain the relationships between the Pound’s safe-haven pairs, were GBP/CHF correlations with GBP/USD and GBP/JPY continue to hold on extremely high levels, with the strengthening tendency well-pronounced on both medium- and short-term timeframes.

AUD/CAD correlations also showed extension of patterns seen in monthly distributions. Thus the pair’s bonds with USD/CAD strengthened, while its correlations with AUD/NZD displayed a tendency towards negative relationship

Market overview for April 1 – 5, 2019: The Yen’s, the Franc’s, and the Kiwi indexes are the only ones to post losses. The Greenback’s measure lifts its YTD change above zero for the second time this year. Volatility tumbles to strongly subdued levels.
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The first week of April saw most of the observed indexes remain in a narrow range between the ±0.50% lines, with most of the measures closing the period with marginal gains. The only gauges to post losses were the safe-haven Yen’s and Franc’s indexes, and the commodity-related Kiwi’s measure, while the NZD and GBP Indexes were the only ones to break out of the range during the week.
Notably, the Asia-Pacific indexes opened the week with significant shift from the preceding Friday close, pointing at the over-the-weekend strengthening of the risk sentiment.



With the observed indexes showing little action during the week, the turbulence measures fell back to subdued levels, and even the Asia-Pacific currencies reported weekly medians below the 0.030% threshold. The only currency to signal overturbulence for the Pound, while the Euro, the Franc, and the US Dollar reported extremely low volatility medians of 0.024%.



The most prominent weekly correlation distributions pointed at extensions of the medium-term patterns. The greatest weakening was observed in correlations between GBP/USD and EUR/USD. Correlation between the Pound’s safe-haven pairs, in turn, remained on extremely high levels.

Market overview for April 8 - 12, 2019: Volatility stands on the lowest levels since the beginning of observations. The Pound’s index spends its calmest week since November, the Greenback measure’s YTD change returns to the negative territory.
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The past week was unusually slow for the observed currencies, as their indexes mostly kept within the ±0.50% range and made very few strong moves. Still, the depreciation area was clearly dominated by the safe-havens, with the Yen’s, the Swiss Franc’s, and the US Dollar’s measure becoming the only gauges to post negative weekly changes. Moderate positive results were reported by the Aussie’s and the Euro’s indexes, while the main mover of the past months, the GBP Index, posted a near-zero change.



The past week was the most tranquil one since the beginning of records in January 2018. All of the observed currencies, with the exception of the Pound, reported volatility medians on their absolute lowest levels, and even the British currency, which remained steadily overturbulent since December, posted a reading below the 0.030% mark.



Correlations between the observed currency pairs showed little shifts from the long-term levels in the past period.
The only major exception were the correlations between GBP/USD and EUR/USD, whose weekly values remained notably subdued.

Market overview for April 15 - 19, 2019: The Yen’s index becomes the main gainer after three weeks of losses. The USD Index returns its YTD readings to the positive area, while the Swiss Franc’s gauge becomes the worst performer on the basis. Median volatility stands on record lows, but the NZ CPI becomes the most turbulent event since the March 27 RBNZ statement.
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The past week saw some stratification in the observed currency indexes, with half the gauges spending most of the period moving sideways within a narrow ±0.30% range, while other showed some directional movement and ended up with more palpable weekly changes. Here the main gainers were the Yen’s and the US Dollar’s measures, while the Kiwi’s and the Swiss Franc’s indexes posted losses.
The NZ Dollar’s measure also stood out amid the relative tranquillity by suffering a major 1.09 pp drop after Tuesday CPI miss.



Observed median volatility levels shifted further down from the record low levels recorder in the previous period, with most readings standing at or below the 0.022% mark and nowhere near the 0.030% threshold. The Euro, the US Dollar, and the Swiss Franc reported the values of 0.018-0.019%, marking the first time the volatility medians came in below the 0.020% mark.



The past week’s most changed correlations marked the lessening of the Pound’s influence on the development of its pairs. The most interesting changes were observed in the bond between NZD/USD and USD/CAD.

Market overview for April 22 - 26, 2019: Volatility remains on extremely low levels. The AUD Index erases most of its April gains, the Loonie’s and the Pound’s measures stand on par on the YTD basis. Correlations between the Pound’s pairs continue to normalise.
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Most of the observed indexes continued to move sideways, with the Aussie’s measure being the only notable player below the baseline, while the Yen’s and the US Dollar’s gauges were the only ones to climb above the +0.50% mark.
On the MTD basis, the AUD Index lost the leadership, surrendering the winner’s position to its US peer, and the Yen’s measure posted a positive result for the first time in April. In the long-term readings, the USD Index’s YTD change came in positive for the second week in a row, while the Pound’s result slid below the +3.00% line, losing its advantage and nearing the Loonie’s reading.



Volatility remained on extremely low levels for the third week in a row, with the reported medians ranging from 0.020% for the Euro to 0.024% for the Yen and the Kiwi.



The period’s most changed correlation medians continued to point at the normalisation of the relationships between the Pound’s pairs. The most prominent was the weakening in the bonds between the safe-haven pairs - GBP/CHF, GBP/JPY, and GBP/USD.
Some notable changes were also observed in NZD/USD correlations.

Market overview for April 29 – May 3, 2019: The Pound’s, the US Dollar’s, and the Euro’s index become April’s best performers, while the Kiwi’s and the Swiss Franc’s measures suffer the greatest monthly losses. Volatility medians signal the fourth consecutive week of abnormal tranquillity.
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The past week saw the return of the Pound’s index as the leading measure, with the gauge posting strong growth after three periods of feeble results. The rest of the gauges remained largely bound by the ±0.50% lines, with no other measures reporting substantial gains, and the Aussie’s, the Kiwi’s, and the Greenback’s indexes being the only ones to post palpable losses.



Volatility medians edged further down from the subdued levels observed during the previous three weeks. The Euro’s reading did not manage to reach even the 0.020% mark, and the highest value, reported by the Pound, stood only at 0.023%.



The impact of the Pound was almost entirely absent from the correlations selected for the past period, with the most prominent changes being observed in the bond between the Aussie and the Euro.