Dukascopy Market and Economic Research

Highlights of the latest Marker Research release on EUR.
Full research available here​.



In the period from 3rd to 9th October, the Europe’s shared currency has performed well, as it managed to gain against seven of its eight observed counterparts. The biggest advance has been witnessed versus the Swedish krona, that failed to keep its bullish momentum from the last week. As a matter of fact, for most of the time the Euro was not among the best performing currencies; however, by the end of Thursday it reached the second best-performing position. Moreover, the increase was also spurred by the underperformance of the other currencies, as most of them remained unchanged or posted losses in the period.



Even though the Euro area’s currency demonstrated some sharp moves on Friday and Wednesday, in general the elevated volatility portions were slightly above the 30% mark, which is below the past overturbulence levels. The most volatile currency this week was the U.S. Dollar; however, not to extreme levels. At the same time, the Kiwi has lost its turbulence, after reaching 74% level last week.



Excepting some minor dips and climbs, the significance of the Euro, measured as an average correlation between various Euro crosses, was around its medium levels of 0.20. For some time on Friday and Monday the measure fell down to tenuous area; however, later managed to recover to more solid levels. The decline was caused by most of the components sliding to weakly negative values, suggesting that the single currency was not on the strong governing side of the pair movements. Nonetheless, the lack of important Euro zone’s events in the period contributed to no significant changes. At the same time the gauge is not indicating that more market participants have started looking in other currencies.

Highlights of the latest Marker Research release on EUR.
Full research available here​.



After many weeks of strong performance, the previous period’s feebleness turned into the last week’s downfall, as the USD Index posted its first substantial loss since late June. The index spent the period below its counterparts, losing almost 1% of the base value over the week and shifting its monthly growth to +1.8% from previous +4.0%. The Greenback weakened against all its observed peers, dropping 2.2% against the Yen and more than 1% against the Swiss franc, the New Zealand dollar, and the Euro.



The Greenback was the most turbulent currency of the observed period, as its portion of elevated volatility stood at 50%. Other currencies and the market as a whole, in turn, had their indexes above the historical level in only about 30% of the week. Nevertheless, with the exception of a few spikes, the overall level of dollar’s volatility was not high and did not exceed 1.3 mark. As for the components, USD/JPY was above the 1 point mark for 62% of the time, while the EUR/USD Volatility Index reached the period’s highest peak of 3.53.



The USD significance measure was holding a course of gradual growth since late September, and during the past week, with an impressive average of 0.72 points, was reporting the Greenback’s strongest influence, challenged only by the Kiwi’s gauge. The strengthening was observed across all USD/EUR components, as their distributions shifted closer to longer-term upper tails and averages notably exceeded historical levels. The tendency was especially pronounced in the pair’s combinations with USD/GBP, USD/AUD, and USD/NZD.

Quarterly Report: Q4 of 2014

In the first half of this year the USA, along with the other developed regions of the world, suffered from painfully slow recovery, casting doubt over the ability of the world economy to stand on its own two feet this year without the crutches in the form of stimulus. But in the end the world’s largest economy also turned out to be the most successful among its peers. It was one of the few countries that seem to have preserved the positive momentum. As a result, the main topic of the past quarter was the appreciation of the US Dollar against the world currencies.

Japan, being a frequent guest of the headlines after failures to meet the expectations in the past, now cannot surprise to the upside, with the positive outlook hanging by a thread. In the meantime, the Euro zone overtook any other region in the number of disappointing figures. Neither inflation, nor the unemployment rate, which are within every central bank’s mandate to keep at healthy levels (apart from the main goal of price stability) are unwilling to move in the direction they are pushed. The half-year lag, which was observed between the business cycles in the USA and the Euro zone before, has widened and it continues to get only larger.

It has been argued that Draghi has delayed the European edition of the quantitative easing for far too long. But what if it does not work? Perhaps, he is already aware of that. What would you do in his place? I suppose we can agree that you would refuse to implement it. Simply not to disappoint, to keep the Europeans believing the ECB is in possession of a panacea that is ready to be used if the bloc is really in trouble.

And so, there are plenty of important questions left unanswered. Without them it is impossible to determine whether being optimistic right now is justified. But what other choice do we have? Let’s hope the last quarter of 2014 is going to give us the answers we seek and they will not turn out to be bitter.

Highlights of the latest Marker Research release on GBP.
Full research available here​.



The Pound’s performance throughout the past five trading days changed from time to time, as after the unexpected decline of October 14 CPI data, the base value for the currency plunged and the GBP Index fell below the baseline, even though it traded above it for the most of the period. The index posted a 0.91% weekly drop, subsequently limiting its four-week gain to minor 0.04%. Among other currencies only the Canadian Dollar showed worse development during the past week, as it declined 1.1%. On the other hand, the Japanese Yen, Swiss Franc and New Zealand Dollar advanced 1.4%, 0.76% and 0.67% in five trading days and reported the fastest weekly gain.



The period was quiet in terms of volatility, as the GBP elevated volatility index was below the market average levels. GBP/AUD was the only Pound’s cross with the portion of elevated volatility greater than market’s average of 35%, and with that posted the greatest elevated volatility index value of 40%. Meanwhile, unlike in the previous analyses, volatility of the GBP/NZD currency pair was not only much below the market average, but also the smallest among currency pairs included in the report.



Except some local changes to the upside and downside, the significance of the British Pound, calculated as an average correlation between different GBP crosses, stayed around the level of 0.30 during the reporting period. At the same time, on Wednesday and Tuesday the currency’s significance experienced some notable changes, while they were caused by some components dipping to weekly value of just above zero. However, lack of important news from Britain forced the average correlation to stay around the same level for the vast part of the period.

Highlights of the latest Marker Research release on GBP.
Full research available here​.



Euro was amongst the best performing currencies in the period. It came basically at par with the Swedish currency and the Kiwi and was surpassed only by the Japanese Yen and Swissy. However, all the other currency indices were outperformed by the Euro rather significantly, as they lagged at least 0.7% behind the Europe’s shared currency. Trough the period the Euro has showed very calm performance, as it fluctuated around the base for the first three days. However, on the second part of Wednesday the common currency started to gain slightly, after the Pound and the US Dollar were impacted to the down-side by the national data.




In the first part of the period the levels of volatility remained rather moderate. However, already starting from Tuesday the volatility in the market climbed significantly as the amount of important data increased. In the last three days of the period the EUR Volatility Index reached above the 2.0 mark. Moreover, On Thursday the gauge went even further and almost touched the 3.0 level, as the Canadian Manufacturing Sales disappointed. Also, US Unemployment Claims dropped to the lowest level in 14 years and US Industrial Production surprised to the upside. The US data were the most important news in the period.




The Euro significance measure remained moderate only for the first part of Friday and the last part of Thursday. The gauge started the period at 0.21 and ended it at 0.25, while the biggest changes were in-between the periods. At the end of Monday and at the beginning of Tuesday the measure exceeded the significance level of 0.4. Nonetheless, just slightly more than 24 hours later the significance level dropped below the 0.10 mark.

Highlights of the latest Market Research release on USD.
Full research available here​.



The USD Index remained on a general downtrend for the second week in a row, though it did not reach quite as far into the depreciation area as it did in the previous period. It also shifted from being the worst performer, holding above the pound’s and the Loonie’s gauges throughout the week. The dollar lost 1.35% of its value against its New Zealand counterpart, and around 1% against the Aussie and the Swiss franc. The Euro posted another weekly gain over the Greenback, adding 0.87% to the previous period’s 1% growth, as it seemed that for the time being the market stood on the Fed’s side in the race for the weaker currency.



After a rather turbulent previous week, the past period proved to be quite tranquil for the US dollar, and its volatility index was mostly driven by the USD/SEK, USD/CAD, and USD/JPY components. Thus, USD/SEK volatility surged up to the 4.7 points, but USD/JPY and USD/CAD reached 3.7 and 3.9 marks, respectively. Consequently, the Swedish krona became the past week’s most volatile currency in terms of its turbulence levels. Tuesday’s inflation rate release managed the SEK Volatility Index to jump to 4.39 points, and afterwards it held in the turbulent area till the end of the period. However, the yen exhibited the maximum portion of elevated volatility, as its index stayed above the historical level for about 73% of the time.



The USD significance measure was varying in a wide range of 0.22–0.8 points, pointing out the fact that a lot of influential news from various regions drove the market during the week. Correlations between USD/EUR and other USD pairs were mostly on average historical levels or below them, which reconfirmed the driving power of Greenback’s counterparts.

Highlights of the latest Market Research release on CAD.
Full research available here​.



The Canadian dollar could certainly be considered one of the most active currencies of the October 15-21 time period. The CAD Index hovered below the baseline for the vast part of the week, however, it managed to gain value in the end of the week, namely 0.08%, if compared to the beginning of the period. The index showed a negative trend right from Wednesday until Tuesday’s morning, when it started to recover. Meanwhile, the currency rose against the majority of its observed peers, including USD and JPY by 0.77% and 0.52%, while it declined only against NZD and GBP by 0.91% and 0.59%, respectively.




The beginning of the analysed time period proved to be significantly more turbulent than last two days of it, still leaving the overall market volatility uplifted. Elevated volatility for the Canadian currency was located just above the market average at 49 versus 47 points, respectively. The CAD/JPY currency cross seemed to have the highest indicator of elevated volatility at 68 points, while the NZD/CAD pair was the least volatile. Concerning the volatility index, the highest average was posted by CAD/JPY at 1.41, with CAD/CHF following at 1.21 points.




The Canadian dollar’s correlations were on a rather high level throughout the period. Significance of the Canadian currency, calculated as an average correlation between different CAD crosses, was mixed with lots of ups and downs. Such strong movements were mostly caused by big portions of news both from Canada, Europe and US, as the significance index swung between 0.60 and 0.30 during different time periods. Among currency pairs, the highest correlation was observed with CAD/CHF cross during the period.

Highlights of the latest Market Research release on EUR.
Full research available here​.

After holding above the baseline for the past two weeks, the EUR Index turned to weaken and ended the period with the greatest weekly loss since the beginning of October. In the long run, it came to be the second-worst performer, outpacing only the Swedish krona’s gauge on the half-yearly and yearly basis. The Euro depreciated against five of its eight observed peers, losing more than 1% versus the Canadian and the US dollars, and over 0.8% against the Aussie and the pound. Meanwhile, its strongest growth, achieved in EUR/JPY and EUR/NZD pairs, barely exceeded 0.4%.

In terms of elevated volatility portion the past period was the calmest one since mid-August, as the Euro became the second most turbulent currency with the gauge of only 25%. The levels of volatility indexes were also far from highest, and the single currency was in line with the majority of its observed peers in relation to both the maximum and the average values. EUR/CAD, EUR/GBP, and EUR/JPY posted the highest portions of elevated volatility, while the Loonie’s cross brought its index to the greatest peak. EUR/CHF was the calmest pair, with its volatility reaching above its historical average for only 7% of time.

The Euro currency significance measure held below its counterparts for the most of the period, but managed to reach its highest value since the rate cut in early September. Consequently, the component averages spiked higher than their long-term equivalents, even as most of the distributions were not unusual. The tightest bonds were observed in the EUR/USD combinations with EUR/GBP, EUR/JPY ,and EUR/CAD, while its average correlation with EUR/NZD came to be significantly positive for the first time since late June.

Highlights of the latest Market Research release on USD.
Full research available here​.



Tables have turned for the USD and the EUR Indexes, as they continued to hold on different sides of the baseline, but traded places in the appreciation/depreciation areas. After spending two weeks below the base value, the USD Index turned to uptrend and finished the period with a third-best result. The Greenback strengthened against six of its eight observed peers, posting the greatest weekly gains in pairs with the New Zealand dollar, the yen, and the Swedish krona. On the long-term basis, the index continued to report the highest yearly and half-yearly growth, while its monthly change dropped slightly below zero.



The week was marked by extremely low volatility levels. The portion of market’s elevated volatility was only 11%, while USD volatility was above its historical average in only 4% of time. Such low proportions of overturbulence allow the week to be considered the most tranquil one since the beginning of the year. As it is seen from the tables, the period’s most volatile currency was the Canadian dollar. Its Volatility Index reached the 4.47 value on Wednesday, against the background of the BoC rate decision report and the following press conference, when the market’s volatility also spiked to its week’s maximum. Thus, it became the most turbulent event of the period.



The US dollar’s significance was weakening for the second consecutive week, and mean correlations between EUR/USD and other USD pairs lost 0.12 – 0.41 points from their beginning of the month values. The decline was most noticeable in bonds with the Pacific currencies and the Loonie. The correlation distributions notably shifted down closer to their lower tails. Nevertheless, compared with the long-term values, mean correlations stayed on the same level, with some even gaining 0.01 – 0.06 points. The composite itself held around the 0.4 points level during the past week, losing about 0.3 points over the values reported two weeks ago.

Highlights of the latest Market Research release on GBP.
Full research available here​.



The British currency traded in a rather calm environment during the October 22-29 time period, even though sometimes it managed to either gain strong value or decline considerably. Over the past five trading days the GDP Index added 0.28% and improved its monthly performance as well. However, it remains among one of the few currencies that lost value month-on-month, along with the Swedish krona, the US dollar, and the Loonie. Meanwhile, in a week’s time the pound grew significantly against Japanese and Swedish currencies, gaining 1.21% and 1.57%, respectively, while it lost the biggest value of 0.83% against the Aussie.




The period was mixed in terms of volatility, as some days of increased turbulence were changed by rather quiet periods for the currency. The portion of elevated GBP volatility was slightly above that of the market. GBP/CHF was the only pound’s cross with the parameter smaller than market’s average of 13%, and with that posted the lowest elevated volatility portion of 12%. However, it is explained by calm environment of all CHF-crosses. Among others, GBP/SEK and GBP/CAD posted the highest elevated volatility indicators during the period.




The significance of the British currency, calculated as an average correlation between different GBP crosses, was notably changing during all days of the reporting period. Except Thursday, when the correlation stayed around the 0.40 level throughout the whole day, the GBP composite swung between 0.25 and 0.70 points. Radical changes were caused by some components returning to weekly value of just above zero or falling below it. As a result, the week was finished with the average correlation of around 0.30, just slightly above the period’s lowest level.

Highlights of the latest Market Research release on GBP.
Full research available here​.



The past week was very stable for the single European currency. Throughout the period the Euro Currency Index was, on average, at the 100.01 level, almost at the base value. The biggest deflection from the norm was on Tuesday, when the US durable goods orders surprised the market to the downside. Moreover, compared to the other currencies the Euro also was the most ‘peaceful’. On Thursday the Euro index was dragged lower by the disappointing inflation data from Germany; however, also this reaction was somewhat subdued.



In general, this has been a very calm week, the volatility has declined to even lower levels than we saw in the previous period. The elevated volatility of the Euro retreated to 12% from 25% last week, which already was the lowest reading seen since mid-August. The lowest elevated volatility was posted by EUR/JPY, EUR/GBP, EUR/CHF and EUR/CAD, for all of these pair’s the gauge was below 10% mark, which is very low. While the highest portion of elevated volatility was achieved by EUR/SEK, which was impacted by the Riksbank’s decision to cut the main interest rate to zero.



The past five-day period was interesting for its lack of positive or negative correlations. Especially, after the previous week, when EUR/USD correlated very strongly with various currency pairs (EUR/GBP, EUR/JPY, EUR/CAD). However, this week has been more about the negative correlations than the positive ones. From Tuesday to Thursday unprecedentedly strong negative correlation levels were observed in EUR/USD-EUR/CHF and EUR/USD-EUR/NZD combinations. Moreover, the lowest level was reached on Wednesday’s evening.

Highlights of the latest Market Research release on USD.
Full research available here​.



The week was marked with several significant movements of the currencies. In particular, SEK, USD, and JPY were reacting to domestic news most dramatically. Thus, the krona and the yen experienced the most considerable losses over the period – 0.86% and 3.2%, respectively. Moreover, the Swedish and the Japanese currencies turned out to be the only ones that finished the trading week with negative changes. As for the Greenback, it spent the first half of the week slightly below the baseline, but retrieved on Wednesday evening and finished the week on leading position, gaining 1.44% of its base value.



After an overly calm previous week, the US dollar turbulence rose slightly, and its portion of the elevated volatility grew from 4% to 18%. Nevertheless, the overall level of volatility was quite low, not only in pairs with the Greenback, but also in other currencies. Only the Swedish krona’s pairs were volatile for more than 30% of the observed period. The disturbances were caused by a host of the Swedish data releases on October 28 – 29. Despite rarity of the volatility peaks, maximum values of spikes were rather high. Thus, NZD/USD volatility surged to the 6.41 mark, while the maxima of the other USD indexes were holding in the range from 2.79 to 4.95 points.



The dollar’s significance measure strengthened slightly in the last week of October, with its values taking up a higher part of the historical distribution, and its minimum growing closer to the reference level of 0.30 points. The composite’s maximum stood less than 0.1 points short of the maximum possible value and was challenged only by the Swedish krona’s and the yen’s gauges. The distributions of most USD/EUR components also had lighter lower tails and lifted their average values above longer-term readings.

October Release of Dukascopy Bank Sentiment Index
Read full report here

 

1. Intensifying blow of disinflation winds, with major world economies experiencing slowing inflation rate, never-ending streak of negative news from the Euro zone, slowing growth in China, the world’s second biggest economy, and recent volatility in financial markets seemed to be the main reasons behind experts’ gloomier outlook for the global economy in October. Both short and long term world’s economic sentiment indexes fell marginally from the previous month.
2. While the continental Europe continues to post uneven economic indicators, concerns are rising about health of the leading Euro area’s economies, including Germany and France, in the UK debates among Bank of England rate-setters get hotter, as they weigh when to start tightening cycle by raising interest rates amid rapidly improving economic conditions in the country. Nevertheless, upbeat news from Britain was not able to offset the effect which the Euro zone disappointing data had on academic experts. As a result, both sentiment indexes dropped in October.
3. In the US, economic performance is improving at a rapid pace, which is definitely beneficial for its neighbor Canada. The Fed has finally completed its six-year old quantitative easing programme despite the recent turbulence in financial markets as well as global economic woes. Professors’ faith in the North American region strengthened in the month of October, as both six-month and three-year sentiment indexes climbed.
4. Asia-Pacific saw its sentiment gauges falling in October, as China’s economy slows somewhat, Japan reaps the fruits of sales tax hike, central bankers in Australia and New Zealand monitor economic developments vigorously to understand the risk from falling commodity prices to the economy.

Highlights of the latest Market Research release on JPY.
Full research available here​.



The significant decline of the Japanese currency index during the reported period was mainly caused by the unexpected announcement of the Bank of Japan, which decided to expand its quantitative easing program in time when analysts expected no changes in the monetary policy stance. Due to that, the JPY Index plunged considerably and made this currency the worst-performing one during the past five trading days. All in all, the JPY Index lost 3.87% from past Wednesday till this week’s Tuesday, while the sharpest drop was registered against the US dollar and Swedish krona, -4.88% and -4.33%, respectively. The period’s best-performing currency was the USD, which gained 1.77%.




Due to previously mentioned unexpected news from the Bank of Japan, the yen’s volatility grew above the market average during the week. However, the period was marked by moderate volatility values. As seen from the table, the Volatility Index for Japanese yen surged to the 1.9 level on Wednesday, when all currencies on the foreign exchange market hovered in a wide trading range because of statement of the US Federal Open Market Committee. The greatest market volatility at the level of 3.01 took place on Friday at the time of BoJ’s monetary policy announcement. However, the average Volatility Index for the JPY returned back to normal at the end of the period.




The Japanese yen’s significance measure, calculated as an average correlation between all JPY currency crosses, started the period at rather low levels of 0.40, helped by lack of local and international economic news. At the same time, the currency began being in focus on the second day of the period and the most important day for it was Friday. On that day, the significance measure jumped to 0.95, considerably higher than the average correlation coefficient of the week at 0.58 points. Last week, the mean correlation coefficient has also exceeded the half-year and annual averages.

Highlights of the latest Market Research release on JPY.
Full research available here​.




The Japanese yen has been clearly the worst performing currency with a significant 3.5% loss over the week, after the BOJ surprised the market by expanding their massive monetary stimulus even more. Also, the Aussie’s performance was disappointing despite the better-than-expected employment numbers. The US dollar, in turn, has spent all the period above the baseline and achieved a great 2% of gains as most of the data from the US were in line with expectations or even better than forecasted. The Euro, however, was more or less stable and with indications to the upside, as for most of the time during the week it was close to 1% mark.




The volatility of the Euro was very similar to the market’s volatility in both elevated volatility portion and especially Volatility Index values. Moreover, looking at the volatility chart it might seem like the market was lacking turbulence; however, the levels of the gauge have improved considerably compared to the last week. Market’s elevated volatility on average was 30% higher than the previous week, when we witnessed a multiple month low of 10%. Nonetheless, the biggest wave of volatility was on Thursday during the ECB’s monetary policy statement and press conference, when Mario Draghi spoke about the problems that the Euro zone is




The period proved to be very unsuccessful for the Euro significance measure, as it started at nearly zero level and through the week fell even lower. This performance was caused by most of the components sliding to weakly negative values, suggesting that the Europe’s single currency was not on the governing side of the exchange rate movements. However, after the ECB announcement unprecedentedly strong correlations between almost all of the currency pairs occurred, since the Euro suddenly became the strongest driver for other currencies in the market.

Highlights of the latest Market Research release on USD.
Full research available here​.



The USD Index continued to show strong performance throughout the period, ending up among the top three gainers for the third week in a row. The Greenback grew the most against the yen, which remained feeble after the BoJ announced the increase of monetary stimulus on October 31, and the Aussie, whose index went into the sharpest downfall against the background of the strong dollar and decrease in metal prices. Among other USD Index counterparts, the Loonie’s gauge posted the highest spike on Friday, as Canadian job creation data reported a 43.1K rise against the expected 5K fall.



The week was relatively calm for the Greenback with only 28% portion of elevated volatility. Moreover, the greatest peaks of the USD Volatility Index were associated with news from its peers’ economies. The market volatility was on its average historical level – elevated volatility was observed in 31% of time. The highest peaks of both market and USD volatility indexes – 2.5 and 2.23 points, respectively – were reached on Thursday, against the background of ECB press conference on monetary policy, while the EUR Volatility Index reached the 4.5 level. Thus, the ECB statement became the most turbulent event of the week.



The overall level of the USD correlation decreased slightly compared with the previous period, and the significance measure held at the 0.51 mark on average. Most of the components’ mean values also lost about 0.04 – 0.17 points of their previous readings. In turn, EUR/USD correlations with AUD/USD and USD/SEK grew by 0.08 and 0.1 points, respectively. Surprisingly low Swedish industrial production data caused the strengthening of the bond between USD/SEK and most of the other USD pairs. Compared with the long-term values, all components showed the upward trend.

Highlights of the latest Market Research release on GBP.
Full research available here​.



The British currency traded in a more volatile environment during the November 5-11 time period compared to the previous report two weeks ago. In the first two days the currency gained value, while starting on Friday it dropped below the baseline. Over the five trading days the GDP Index decreased 0.13%. However, it remained among one of the best performing currencies year-on-year, along with the US dollar, as they rose 7.1% and 7.59%, respectively. Meanwhile, in a week’s time the pound surged against the Japanese yen, Euro and Swiss franc, gaining 1.23%, 0.13% and 0.08%, accordingly. The sharpest fall was posted against the Loonie by 1.05%.




The period can be considered as active in terms of volatility, as the vast part of the period was marked by uplifted turbulence of the British currency. The portion of elevated GBP volatility was slightly above that of the market. EUR/GBP and GBP/CAD were the only pound’s crosses with the parameter smaller than the market’s average of 29%, and with that posted the lowest elevated volatility portion of 26% and 15%, respectively. Concerning other currency pairs with the pound, GBP/JPY and GBP/SEK posted the highest elevated volatility indicators during the period at 41% and 40%.




Significance level of the Pound, which is calculated as an average correlation between different crosses of this currency, was rather balanced during the period, except for the first two trading days. On Wednesday, the correlation stayed around the 0.55 level, while a day later in dropped down to the period’s low at 0.15. However, the GBP composite managed to stabilize and close the week just below the mean level at 0.30. Radical changes throughout the period were caused by some components falling below the value of zero.

Highlights of the latest Market Research release on EUR.
Full research available here​.




Compared to the last week, when the Yen dropped staggering 3.5%, there is no currency that has lost more than 1.5%. The worst performing currencies have been the British Pound and once again the Japanese Yen that has lost 1.59% and 1.37%, respectively. However, most of the currencies (USD, SEK, CAD, EUR, CHF) did not fluctuate dramatically as they hovered in the range from –0.5% to 0.5%. Interestingly the Greenback has lost its bullishness and it has slipped 0.47% this week. The strongest performer was clearly the Kiwi by adding 1.93% as several positive data pushed the currency higher, with the Aussie following with 1.27% of gains.




This has been a tranquil week for the market with a lack of very important data released and also with a bank holiday due to the remembrance day and anniversary of the Armistice which ended the First World War. The most important releases were not associated with the 18-nation currency and that also resulted in such low volatility readings. Market’s elevated volatility has dropped almost two times compared to the previous week, as it was at 22% in the period. Nevertheless, the highest level of volatility was reached on Friday and Wednesday. The leader in elevated volatility was EUR/CHF that reacted to the release of unemployment rate.




Judging from the average correlation coefficient that shows the overall significance of a currency in the market, the most part of the five-day period the shared currency was far from being the main driver. On Friday the coefficient was above the 50% mark for the only time through the week, when the US jobs data boosted the gauge. The next two days the indicator mostly fluctuated between 0.25 and 0.1, exhibiting no sensitivity to any of the economic releases whatsoever. On Wednesday the average correlation almost reached the 50% mark, when

Highlights of the latest Market Research release on USD.
Full research available here​.



The week was marked with strong uptrends and downtrends in various currency rates. The yen became the worst performer for the third consecutive week, thus losing 7.44% of its value within a month. In the middle of the week, the pound’s index started to fall, too, and did not retrieve till the end of the period, finishing the week with a 1.74% loss. The Kiwi’s index, in turn, showed a strong uptrend and gained 2.22% of the base value during the period. Similar, but more moderate growth was observed in the Aussie’s gauge. The changes of the rest of the currencies, including the Greenback, remained in a narrow -0.5% - +0.5% range.



In terms of volatility, the period was rather uneventful for both the dollar and the market as a whole. As the portions of elevated volatility were very changeable during the past month, varying from as low as 4% to as high as 50%, the latest values were well in the middle, while the greatest and the average recorded levels of turbulence stood closer to the feeblest readings. Among the dollar components, USD/JPY Volatility Index exceeded its historical average most often, while AUD/USD index reached the highest peak, jumping to the 4 point level with the RBA’s comments on possible intervention. USD/CAD, in turn, was the most stable pair in all aspects.



Compared with the previous week, the USD significance measure and its components have moderately increased. The most noticeable rise was observed in correlation pairs containing the Canadian dollar. Thus, on Monday, ahead of the Canadian housing starts data release, correlation components with USD/CAD have gained about 0.07 – 0.43 points. In turn, the main drop of the past week occurred in the GBP/USD components. On Wednesday, the BoE quarterly inflation report caused the weakening of the bond between GBP/USD and other USD pairs. In general, means of the observed components stoop well above the long-term readings.

Highlights of the latest Marker Research release on JPY.
Full research available here​.



It seems that a long-term decrease of the yen index, caused by sluggish economic growth, decreasing inflation and further easing of the BoJ’s monetary policy, is not ready to come to an end in the foreseeable future. During the past five trading days the JPY Index had the second-worst performance along with the GBP gauge. The yen ended the period losing as much as 1.26%, while a 2.04% decrease made the pound the main loser of the period. On the other hand, the New Zealand’s dollar was the best performer during the period, as it’s index grew 1.27% on news that the RBNZ is going to continue tightening monetary stance and keeping mortgage restrictions in place.




The period was associated with uplifted volatility values in the second part of the period and rather high portion of elevated volatility for the yen, compared to the market. As can be seen from the tables, the Japanese yen was the period’s most volatile currency – its Volatility Index reached the 2.48 level early on Monday and 1.70 on Tuesday’s evening. The average volatility index for the whole November 12-18 time period of 0.54 has also been bigger than the mean number for the market at 0.40. Elevated volatility for the yen, in turn, surpassed the market average in all currency pairs and stayed at 43%.




Taking into account the significance levels of JPY, calculated as an average correlations between all currency pairs of the yen, this currency was one of the main drivers last week. Only Thursday stood out for relatively low and at the same time stable correlations below 60% mark. The JPY began the period at a high 0.70 level but started to decrease gradually towards the weekly lows on Friday, as strong data from the United States on retail sales and consumer sentiment had a major impact on all crosses with the US dollar.