Dukascopy Market and Economic Research

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



Without any doubt, the British Pound has been the best performing currency on the foreign exchange in course of the previous working week. There were many influential factors that altogether managed to push the UK currency considerably to the upside. The green performance has been observed against all major currencies, with the biggest increased posted by GBP/NZD and GBP/CHF crosses of 4.49% and 3.47%, respectively. Other currency pairs of the Sterling, however, followed shortly with significant gains as well. In the meantime, the Kiwi lost the most last week, as continuous weakness pushed its currency down by 1.81% on a weekly basis.



Judging from the main volatility chart, it may seem that the Sterling has been increasingly volatile during only one weekly eventthe UK General Election on Thursday. However, the real situation used to be slightly different, and the Pound was turbulent for the biggest part of all time throughout the week. Elevated volatility indicator stayed at 54%, which is way above the number seen during two previous weeks. Moreover, the market average elevated volatility of 48% has also been surpassed. Among currency pairs, the most turbulent one used to be the GBP/NZD (62%), reflecting strong divergence between price developments of these two currencies last week.



The period was rich with influential fundamental releases on the Pound, in particular, thus resulting in rather volatile correlations. The distributions of the components have also had quite long and wide tails in the majority of all cases, except GBP/EUR with GBP/CHF. The composite itself, which measures the significance of the Pound on the market, stayed at 0.53 on average, much higher than both 20, 130 and 250-day averages, as well as above the level seen two weeks ago in our previous review. Meanwhile, GBP/CHF and GBP/EUR, along with GBP/EUR and GBP/SEK demonstrated one of the highest correlations during the week at 0.79 and 0.72 points on average, respectively.

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



The EUR Index was largely fixed during the period, sliding below the baseline in the first day and holding between 99.5 and 100.0 marks till the last. Meanwhile, most of its peers were more animate, though not many managed to end up successful. Besides the Euro’s index, the pound’s and the Aussie’s gauges were the only ones to post gains. The former was sent into a rally by the UK parliamentary election, but the latter started on an uptrend after the release of upbeat home sales and inspiring budget announcement. Ultimately, both measures stabilized around 101.5, leaving their closest peer, the EUR Index, 1% behind. In the depreciation area, the dollar’s gauge came to be the leader, securing the position with a plunge after Wednesday’s retail sales release.



The market volatility was on its average level and mostly followed the general pattern of increased turbulence during the European trading sessions and relative tranquility overnight. The only exception was Friday. The first volatility peak took place in the beginning of the Asian trading session, when the pound soared in reaction to Conservatives’ unexpected triumph in parliamentary elections. Moreover, a lot of influential releases like Swiss CPI, Canadian housing starts, and US unemployment rate were reflected in the greatest spikes of the market activity, and the 74% portion of the elevated volatility during that day. In turn, the most conspicuous and thus the most resonant events during the current week were the weak Swedish CPI release, which managed the SEK Volatility Index to reach the 2.97 mark on Tuesday, and disappointing Wednesday’s US retail sales release, which was followed by the 1.67 surge of the DB Volatility Index.



As the EUR Index was quite reserved in its movements, the single currency’s significance measure was relatively flat, with its values grouping closely around the average of 0.38. The EUR/USD correlation components were also well inside their historical limits, with only combinations with the pound’s and the Pacific crosses standing out for their subdued values. These components lost an average of 0.1 points, and while the EUR/USD-EUR/GBP bond seemed to have strengthened back to normal by the end of the week, the correlations with EUR/AUD and EUR/NZD remained weak during the whole period.

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



The week was not rich with the US fundamentals, but some of the few noteworthy releases managed to seriously shaken the dollar’s position, causing major downslides and ultimately putting the index below its peers. Meanwhile, the Euro’s gauge posted the greatest weekly growth, as it started on an uptrend against the background of the weakening dollar and ended up outperforming the previous period’s leader – the GBP Index. The latter, fuelled by the previous week’s parliamentary election and supported by the BoE unchanged monetary policy, started the week with a 1.4% gain, but struggled to hold the level and found itself zigzagging around the 101.0 mark.



The past week was rather dull in terms of volatility, as separate events were marked by moderate peaks, and portions of overturbulence kept below 40%. The dollar was the calmest currency on average, but did suffer the third greatest volatility spike as it tumbled on Wednesday. The first two highest marks were hit by the Swedish krona’s and the Kiwi’s indexes. The former shot to 2.9 as the krona plunged after weak CPI release on Tuesday, while the latter surged to 2.7 early Wednesday, stirred up by the Kiwi’s zigzagging reaction to the RBNZ report. Among the dollar’s pairs, EUR/USD and USD/CHF were notable for the second highest elevated volatility portions, marking similar uneven movements of the once-tied currencies.



Despite a few ups-and-downs, the dollar’s significance measure showed an upward trend during the past period. However, the averages of its USD/EUR components posted minimal changes. On the long-term basis, the components’ averages decreased slightly, losing 0.01-0.14 points. The most notable decline was observed in the correlations between USD/EUR and USD/GBP. The only exception was USD/CHF, which has strengthened its correlation with USD/EUR by 0.04 points compared with the monthly value. With regard to the distributions of correlations, most lower tails shifted down and became noticeably heavier.

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



After exceptionally bullish May 6-12 week for the British currency, during the most recently observed period we have seen some downward correction in its value. Excluding two short-term hikes on Wednesday and Friday, the Sterling traded below the baseline for the rest of the time in course of the week. Among other majors, only the Canadian Dollar traded in a more negative trend, against which the Pound gained 0.86%. On the contrary, the strongest drop was registered by GBP/USD and GBP/SEK pairs, which amounted to 1.1% and 0.7%, respectively. Despite that, the monthly change in the Pounds value still remains positive at healthy 3%.



UK General Election provided Pound with considerable impetus during the second working week of May, when elevated volatility levels surged past 50%. However, last week the indicator returned back to stay at its historical comfort zone, especially considering lack of fundamental news. The elevated volatility decreased to just 24%, falling even below the market average of 29%. Among currency pairs, the GBP/USD cross used to be the most tranquil with just 21% portion of elevated volatility. Meanwhile, the average turbulence of the Sterling stayed at just 0.79 points, therefore confirming the case of below-the-mean volatilities during the May 13-19 period.



The period was silent in terms of influential fundamental releases on the Pound, in particular, which later resulted in small correlations. The distributions of the components have also had quite long tails in the majority of all cases, except GBP/EUR crosses with GBP/SEK and EUR/CHF. The composite itself, which measures the significance of the Pound on the market, stayed at 0.39 points, broadly matching 20, 130 and 250-day averages. Meanwhile, GBP/CHF and GBP/EUR, along with GBP/EUR and GBP/SEK have historically demonstrated one of the highest correlations of 0.78 and 0.75 points on average, accordingly.

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



The Euro’s and the dollar’s indexes swapped places again in the past period, with the former tumbling to the worst performer’s position, and the latter rising above all of its peers. Among other noteworthy moves, the NZD Index went through the week’s sharpest surge on Tuesday, when the RBNZ raised its inflation expectations. The franc’s gauge was sent in a downslide with the weaker-than-expected producer and impact prices and the dollar’s rapid recovery on Friday, and the Loonie’s measure went through a similar tumble on Monday. Meanwhile, the GBP Index experienced both a fall and a rise, first hit by a batch of soft data, including negative annual CPI, reported on Tuesday, and then pushed up by a jump in retail sales released on Thursday.



During the period the market was turbulent in only 18% of time in striking contrast to several previous weeks, when the portion of elevated volatility exceeded 40%. However, there still was a great number of economic releases that considerably influenced the currencies’ strength and thus caused some disturbance on the market. It is worth noting that the Euro was the most turbulent currency in terms of both the index’s peaks’ intensity and the percent of time spent above the average historical level. The Aussie, in turn, became the most tranquil one, as it feebly reacted to all domestic economic releases of the week.



The Euro’s significance measure picked up from the previous week’s feeble levels, ranging between 0.3 and 0.8 points throughout the period. Subsequently, the averages of the composite and most EUR/USD components edged up from the previous readings. The most notable strengthening was observed in the bond between EUR/USD and EUR/GBP, which gained near 0.2 points. The period’s averages exceeded the long-term values as well, with the exception of the EUR/JPY component, which came in row with the monthly value.

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



The USD Index was on a winning streak in the past period, effectively paring the previous weeks losses and reclaiming the best performers title. The dollar itself posted over 1.5% growth against all its major peers, with an especially heavy defeat delivered to the Euro, whose gauge lost 2.1% of the base value and finished the period more than 1% below its closest counterpart, the CHF Index. The latter, aside from posting the second greatest loss, seemed to have strengthened its coordination with the Euros measure, reminding of the pre-unpegging pattern that was less pronounced in the previous periods, but appeared clear in the second half of the past week.



Aside from a few separate major moves, the past week was very tranquil, and the portion of overturbulence on the market reached only 17%. The dollar was also relatively calm, but nevertheless was notably more volatile than the market, with its elevated volatility percent second only to the Euros reading (25%), and the average and the maximum index values greater than those of all its peers. Among other currencies, the Euro and the Kiwi were the only ones to push their indexes above the 2 points mark, while the Euro, the pound, and the kronathe only ones to keep their indexes above the average historical level for more than 20% of time.



The past period was highly successful for the Greenbacks significance measure. Compared with the previous readings, averages of the composite and all observed USD/EUR components gained 0.05-0.15 points, with the most notable rise observed in the pairs bonds with the pounds and the Pacific currencies crosses. The composite itself rose by 0.14 points from 0.46 to 0.6. In regard to the monthly values, averages of the composite and its USD/EUR components also increased, gaining 0.02-0.08 points.

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



Giving leadership to the American Dollar, the British currency traded in the green zone for most of the time during the period from last Wednesday until Tuesday of this week. As a result, the only decline of the Sterling was posted against the Greenback. On the other hand, the common European currency used to be the major under-performer during the previous week (-0.92%); therefore, the Pound managed to gain 1.54% against the Euro. EUR/AUD cross followed shortly with a weekly advance of 1.46%. Meanwhile, the Pound remains the third best yearly performer (+6.05%), after the Buck and Swiss Franc, which gained 16.2% and 9.14%, respectively.



As can be seen from the main volatility chart, turbulence of the British Pound stayed on exceptionally low levels during the period, compared with many preceding weeks. The longest part of the week was spent below the historical average levels. The portion of elevated GBP volatility at 12% was substantially below that of the previous week at 33%. On the relative basis, the highest elevated volatility indicator was posted by GBP/USD and GBP/SEK crosses, as they used to be increasingly volatile in 17% of all time. On the other hand, GBP/NZD registered the lowest volatility among all major currency pairs of the Sterling at just 6%.



Significance of the GBP, calculated as an average correlation between different crosses of this currency, stayed slightly above the historical average levels during the reported trading period. It can be observed that the composite developed in many ways on a positive side from the historical mean of 0.39. It is additionally proved by the mean correlation coefficient settling at 0.43 points, higher than both 6-month and annual readings. As usually, the closest correlation were showed by the GBP/EUR cross with GBP/SEK and GBP/CHF currency pairs at 0.72 and 0.75 points, correspondingly.

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

The past week was undoubtedly the dollars period, as the USD Index spent the past four trading days towering over its peers after shooting up on Fridays core CPI numbers. The EUR Index, in turn, was less firm and kept below the baseline for most of the period, albeit not showing any heavy downtrends and holding around the level it initially slid to. The least fortunate currencies of the period were the Aussie and the Kiwi, both of which suffered sharp falls on Thursday. Thus, the AUD Index dropped below 99 points as weak actual and projected business investment data freshened the worries over another rate cut. Later that day, the Kiwis gauge tumbled after Fonterra, a dairy cooperative group and New Zealands largest company, trimmed its forecast payout for the countrys largest commodity export.

The period was notably lacking turbulence, as most elevated volatility portions stood below 20% and none of the indexes managed to lift its average to at least 0.80 points. The Euro was amongst the calmest currencies, with only pound and the Kiwi surpassing it in stability. Meanwhile, the strengthening dollar and the feeblish yen were the least tranquil, their overturbulence percentage at 24 and average volatility at 0.79. Additionally, the Greenback and the Aussie reached the highest volatility peaks, both a little over 3.00 points. The dollars index spiked on Fridays inflation data, taking the markets gauge to its periods high, while the Aussies measure surged on Thursday, evoking a much more modest splash of the aggregate.

The Euros significance measure was showing a clear downtrend, losing 0.3 points by the end of the period. The averages of the composite and its EUR/USD components also decreased. Thus, the composites average has lost 0.07 points compared with the previous value. The maximal change took place in correlations between EUR/USD and EUR/SEK. The Swedish trade balance and consumer confidence data released on Wednesday considerably weakened the bond, and the average declined by 0.26. There was also a significant decline in the component containing EUR/JPY. The strengthening of the Greenback on Tuesday morning pushed the yen down, and the component fell from 0.90 to 0.21, and the average dropped by 0.19 points.

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



The past week was notable for persistent movements of the observed indexes, and the measures were clearly divided into winners (CHF, USD, and EUR) losers (Asia-Pacific currencies), and inbetweeners that kept close to the baseline. The dollar was holding a strong leading position throughout its May 26-28 rally, but on Thursday the Euros and the francs recovery started to gain pace, and their indexes closed on the Greenbacks gauge. The EUR Index never quite managed to properly outpace its US counterpart, but the francs measure surged one point over the USD Index as the Swiss currency reversed its direction sharply after dipping on soft GDP numbers. On the other side of the baseline, the JPY Index moved on a slow downtrend during most of the period, while the Aussies and the Kiwis gauges crashed on Thursday, when the former was hit by poor business investment data and the latter by concerns over the implications of the trimmed dairy payout forecast.



The past week was rather calm for the market. The yen became the most turbulent currency, with index holding above its average historical level in 27% of time, however, its values did not exceed the 1.6 mark. The Kiwi, in turn, turned out to be the most tranquil with only 13% portion of elevated volatility, as the only surge of the currency activity was observed on Thursday after Fonterra trimmed its forecast payout for the New Zealand's largest commodity export. While the highest peak of market volatility index coincided with the spike of the dollars turbulence caused by the batch of the US releases, there were two other conspicuous economic events, which shocked the domestic currencies to a higher degree.



The US dollars significance measure was rather unstable during the past week and ranged from 0.4 to 0.77. Nevertheless, averages of the Greenback aggregate and its USD/EUR components remained almost unchanged compared with the previous readings. Thus the maximal change was only 0.06 points large, while the composite has lost 0.02. Compared with the monthly values, the readings have slightly strengthened. The greatest increase (+0.09) was observed in correlations between USD/EUR and USD/JPY, which started to rise on Wednesday after the unexpected improvement of the Japanese retail sales data. Furthermore, on Thursday, after the Japanese economic data came out, the components development became even more rapid and it reached the 0.84 level.

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



The period was important in terms of a number of market movers, as every day of the May 28June 2 week used to deliver important fundamental data both from the UK and different countries around the world. However, the British currency managed to spend the last weeks time without major spikes or drops, while gradually declining on aggregate during all days of the period. Two currency pairs of the Sterling succeeded in posting an advance, namely GBP/JPY and GBP/NZD, as they gained 0.51% and 0.79%, respectively. On the other hand, the single European currency rallied against the Pound by 2.64% during the previous week, helped by considerably better than expected Euro zone inflation statistics on Tuesday and a general positive sentiment on the Euro since the middle of Mays last week.



Even though the Sterling was nominally twice more volatile during reporting period, compared with one week before, this currency remained broadly tranquil in terms of reactions on important events that happened from Wednesday of last week till Tuesday of this week. The Pounds elevated volatility indicator stayed at just 23%, up from 11% on week-to-week basis. However, it was somewhat lower than 31% registered by the market, on aggregate. Among currency crosses, GBP/SEK was the most turbulent one, as its elevated volatility hit the 27% mark. From another side of the coin, GBP/NZD was the most silent during the period at just 16%.



Correlations of the Sterling showed no distinct tendency last week, and components were moving in different directions, depending on events that affected any particular currency pair. The composite, however, had an average reading of 0.36 points, broadly in line with historical averages and fully matching the 6-month mean. The distributions of the components have also had quite long tails in the majority of all cases, underlying the fact of generally low correlations. All in all, GBP/CHF and GBP/EUR, along with GBP/EUR and GBP/SEK have historically demonstrated one of the highest correlations of 0.66 and 0.73 points, accordingly.

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



Index activity picked up in the past trading days, and most notably so for the Euro’s gauge that climbed to almost 103 points and finally posted the greatest weekly gain after a very sluggish May. Following the general pattern of the EUR Index during the week and eventually coming in second-best was the krona’s gauge. Similarly to the Euro’s measure, the SEK Index had its sharpest surge on Wednesday afternoon, jumping from below the baseline to 101.5 points in three hours. Meanwhile, most of the other gauges dipped, with the USD and the CAD Indexes acting as the downslide leaders, their moves enhanced by disappointing US ISM non-manufacturing PMI, and wider-than-expected Canadian trade deficit.



The past trading days injected the market with a solid amount of volatility, raising most of the overturbulence portions above 40%. The Euro was the second most volatile currency in this respect, while the absolute leader was the frank that held its index above the historical average for 50% of time. The highest peak, in turn, was reached by the Aussie’s gauge, as it spiked to 4.0 points on Thursday, when poor trade balance and retail sales data pushed the currency down. The market’s aggregate turbulence reached its maximum on Friday, when several currencies suffered sharp rate changes, with the most notable movements shaking the Loonie, the franc, and the Aussie.



The period could be clearly divided into two parts: prior to Monday noon and after it. The former was marked with negative correlation between EUR/CHF and the other Euro pairs, and weakening bonds in components containing EUR/CAD. A 0.2% fall in GDP and a greater-than-expected rise of the leading indicator notably affected the franc, while the Loonie was shocked by the data showing the country's economy shrunk in the first quarter. Thus, the composites of these currencies reached the 0.7 mark, pointing out relative importance of their movements during the day and leaving the Euro’s significance measure on a feeble level.

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



The USD Index failed to hold the position it won during the May 26-29 upsurge, and spent the first week of June mostly below the baseline and among the worst performers. The Euro’s gauge, on the other hand, continued with the pattern of strengthening. Backed by encouraging inflation data, the ECB’s assurances, and hopefulness of the time over the Greek negotiations, the EUR Index went into a three day rally and, together with its Swedish peer, posted the only solid positive change in the past period. Meanwhile, the franc’s measure, which was moving in tandem with the Euro’s during the previous period, fell behind and spent the week at the baseline.



After a lull of the past few weeks, the period was quite volatile for the market and almost all observed currencies. The Swedish krona became the most turbulent currency of the week, with its index spending 48% of time above its average historical level. The measure for the Euro and the Aussie, whose heightened volatility was mostly caused by the ECB monetary policy decision and the unexpectedly low Australian trade balance, respectively, stood at 47%. The aggregate USD index, in turn, was 10% behind the leaders. However, in terms of the peak height, the USD was the undisputed leader (5.33), notably outpacing its peers.



The dollar’s significance measure edged up compared to the long-time readings and held around 0.6 points throughout the week, fueled by the Greenback’s across-the-board movements. With that the measure was among the period’s most stable and strongest composites. As for the USD/EUR components, the pair’s bonds with USD/GBP and USD/SEK were notably higher, while correlations with USD/CHF were weaker than usual. Components with USD/JPY and USD/AUD were the most changeable, with their weekly distributions covering the entirety of the monthly ones.

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



Helped by busy fundamental data releases calendar, the Canadian Dollar could certainly be considered one of the most dynamic currencies during the first week of June. The CAD Index fluctuated all around the baseline for the vast part of the week. While the currency was losing value for three out of five days, it still managed to have a weekly positive change of 0.23%. Among other currencies, the Australian Dollar slumped by 1.42% amid disappointing international trade data, while the Euro continued to hover on the green side, while gaining 1.13% on the weekly basis, therefore under-performing only to the Swedish Krona, which rallied 1.82%.



The beginning and the end of the analysed time period proved to be significantly more tranquil than in the middle of it on Friday, which still left the overall market volatility quite uplifted. Elevated volatility of the Canadian currency was moderately below the market average at 43% versus 48%, respectively. The EUR/CAD currency cross seemed to be the only one to reach the 50% threshold, while NZD/CAD and CAD/JPY pairs were the least volatile with the portion of elevated volatility at just 30% and 32%, and these two components have driven the overall CAD turbulence below the market mean last week.



Significance of the Canadian currency, calculated as an average correlation between different CAD crosses, was mixed with lots of ups and downs during the reporting period. Such strong movements were predominantly generated by news from Canada and US, and the composite was swinging in a wide range between 0.71 and 0.16 points. Among the components, the highest correlation coefficient of CAD/EUR pair was observed with CAD/SEK at 0.81. Meanwhile, the composite has been generally staying flat last week, compared with its six-month and yearly averages around 0.42-0.45 points.

May Release of Dukascopy Bank Sentiment Index Report
Full research available here​.

 

1. As summer was approaching, professors sentiment brightened in May. Europe remained a dark spot, as academia experts lost some confidence in the regions short-term economic performance. Nevertheless, a slight retreat in Europes sentiment index was offset by a rise in the North American gauge and a sharp surge in Asia-Pacifics sentiment index. As a result, the global six month outlook edged higher by 0.04 points in May.
2. Surprisingly, the global three-year economic outlook index soared by 0.13 points in May, with the major contributor to the increase being professors optimistic outlook for Asia-Pacifics economy.
3. As the Euro zone is being dragged down by the Greek debt crisis, professors' consensus expectations for the economic development in the foreseeable future deteriorated. Still, the experts foresee the regions economy to be out of woods.
4. Both the short term and long-run economic sentiment index for the North-American economy rose a steady 0.03 in May, as the US, the worlds number one economy, has been recovering following a weak start of the year, while the Canadian economy has been following its neighbour.
5. The Asian-Pacific economy enjoyed a sharp increase in both the six-month and three-year economic sentiment index in May as Australia and Japan surprised with some positive economic growth data in the reported month, which appeared to contribute positively to the overall perception of the regions economic health.

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



After spending more than a month below the baseline, the Canadian dollar managed to improve its position in the past week. The notably greater-than-expected Canadian employment data release on Friday caused the rise of the Loonie. Thus the CAD Index has spent the vast part of the week distinctly above its peers and ended the period with a 1.36% growth. The US economic news, published on Friday along with the Canadian, also led to the increase of the national currency. However, on Monday, the Greenback’s index has dropped below the baseline and did not manage to cross back above, ending the week with the second worst result. The worst result, in turn, was showed by the Kiwi’s gauge. The RBNZ’s rate cut pushed the index down, and by the end of the week it fell to the extremely low level of -2.33%.



Turbulence on the market finally picked up, putting the portion of elevated volatility at around 50% for all observed currencies. The Euro with its 50% was the third most volatile in this respect, having also the third highest 4.85 peak of the index. EUR/USD, EUR/CAD and EUR/NZD were the most volatile Euro’s pairs, both based on the indexes’ values and on the overturbulence portion in the latter’s case. Thus, EUR/USD and EUR/CAD volatility reached its maximum with the Friday’s US labor and Canada’s employment data releases, respectively. EUR/NZD index, in turn, spiked as the Kiwi was pushed down by the RBNZ’s decision to further cut interest rate.



The single currency’s significance measure was showing a downward trend during the past week. However, the movement was not smooth, and the composite had a few ups-and-downs and ranged from 0.29 to 0.67 points. Nonetheless, averages of the composite and its EUR/USD components were almost in row with the previous week’s values. The most notable changes occurred in EUR/USD correlations with EUR/JPY (-0.09 points) and EUR/CAD (+0.1 points). The aggregate, in turn, has risen by 0.01 points.

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



The USD Index spent another week below the baseline, continuing on a wave-like pattern it has employed since the beginning of the year. Interestingly, the Euro’s index did not act as a counterweight this time, as its movements kept in line with the dollar’s gauge’s for most of the week and ultimately amounted to a zero change. Meanwhile, the greatest change and the sharpest fall were posted by the Kiwi’s measure, which plunged 1.8% after the RBNZ cut its interest rate on Wednesday. The SEK Index finished the period as the leader on the other side of the baseline, making the decisive surge after a rise in Sweden’s inflation was reported on Thursday.



The market continued to be turbulent, with over 40% of volatility registered as elevated for all observed currencies. The dollar was among the calmest majors, both in terms of overturbulence portion and volatility swings, while the most impressive readings were posted by the yen and the New Zealand dollar. The former suffered 51% high portion of elevated volatility, while the latter pushed its index to the 10.8 mark in the highest spike of the week. The RBNZ’s rate cut that provoked the Kiwi’s across-the-board fall proved to be the most shocking event of the period, sending the aggregate turbulence measure to its high of 3.0 points.



The period’s correlation between the dollar’s pairs was, on average, lower than the monthly levels. The distributions of the components with the yen and the Kiwi were significantly skewed towards zero, marking their strong reactions to related events and pointing out relative significance of the two currencies. The Greenback, in turn, showed little signs of any influence as it was mostly driven by the movements of its counterparts.

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



The previous trading week was undeniably positive for the UK currency. The positive trend, which has already been established on Wednesday, continued throughout the next five working days. As a result, the Pound registered the fastest increase in value among all major currencies on the market. From another side of the coin, the biggest loser of the week used to be the New Zealand Dollar, which deteriorated by 2.85% amid the unexpected decision of the Reserve Bank of New Zealand to cut the benchmark interest rate by 25 basis points to 3.25%. Therefore, the Sterling managed to accumulate a 4.05% weekly gain versus this currency, while GBP/EUR and GBP/USD followed with a jump of 2.13% and 1.6%, respectively. Meanwhile, the Euro showed a negative tendency amid rising tensions between Greece and its creditors, while there is still no agreement between them as the June 30 deadline approaches.



Both GBP and market volatility readings stayed on high levels in the beginning of the June 10-16 period, while showing no excessive turbulence towards the end of the week, especially on Monday and Tuesday. At the same time, elevated volatility of both the Sterling and the market average was at satisfactory levels of 35%, widely matching the same readings of many preceding weeks. Among the GBP components, GBP/JPY was the most changeable last week, as its elevated volatility reached 45%. On the other hand, usually quiet and placid EUR/GBP cross was volatile in just 25% of all time, the same as the GBP/SEK currency pair.



Significance level of the GBP, calculated as an average correlation between different crosses of this currency, showed no stability during the observed time period. The periods with high correlations were regularly changed by the time slots with extremely low interrelationship between various currency pairs of the Pound Sterling. The latter fact drove the mean correlation coefficient (0.31) slightly to the downside and below the historical average of 0.33, as well as the half-year and annual averages. Meanwhile, a steep divergence between the development of GBP/EUR and GBP/USD crosses led to dynamic correlations
between these currency pairs. Therefore, the violin for this component showed one of the longest tails on the market last week.

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



The EUR Index reported another soft period, wavering near the baseline for most of the week. Meanwhile, the pound was most determined in its growth, as its index started on an uptrend on Monday, and by Thursday stood more than one point higher than its closest peer, the franc’s measure. Both gauges went to their sharpest surges on Wednesday, when the pound was pushed up by strong wage growth, but the franc soured as the investors looked for safe haven amid discouraging Greek negotiations. On the other side of the baseline, the NZD Index was leading the tumble. It started to go south on early Wednesday, weakening in anticipation of the GDP data, and then lost 1.5 points when the numbers came in well below expectations. The second-worst was the dollar’s gauge that lost its footing on dovish FOMC statement.



The market was notably calmer this period than it was in the two previous weeks, with its elevated volatility portion falling from over 40% to 15% and the peaks of the index not reaching the 2-point mark. The Euro’s turbulence was in line with the overall mood, while the only index to notably stand out was the Kiwi’s gauge. Weaker-than-expected GDP growth released on Wednesday caused the Kiwi to plunge and managed its volatility index to spike to 3.1 points. The move had a strong effect on the overall volatility as well, lifting it to the period’s maximum of 1.3.



Despite largely directionless movements of the EUR Index, the currency’s significance measure managed to hold on decent levels above the 0.4 mark for most of the period, suggesting the Euro’s steadiness was well coordinated across the market. Long lower tails of the distributions were mostly attributable to the June 17-18 downshift, and the average correlation numbers, which edged up from the previous week’s values for the composite and most of the EUR/USD components, point out that the beginning-of-the-period strength was solid enough to outweigh the latter slip.

Highlights of the latest Market Research release on USD.
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The USD Index remained below the baseline for the third week in a row, putting its month-on-month change into the negative territory. The dollar itself posted weekly losses against seven of its eight major peers and recorded positive change only against the Kiwi, which tumbled after the release of weaker-than-expected GDP. Meanwhile, the pounds gauge was the first among the periods leaders, as it pulled well ahead of its peers on strong wage growth and kept edging upwards till the end of the week. The weeks strongest upsurge, however, was recorded by the AUD Index as it rallied on Thursday against the background of the dollars weakness.



After two rather turbulent weeks, the markets volatility subsided during the past period, driving the portions of elevated indexes readings down from just below 50% to barely above 10%. The most actively changing currency was the Swiss franc, as it was largely affected by growing concerns over the situation in Greece and the inflow of investors seeking safe haven. The dollar, in turn, was the calmest among the observed currencies, followed closely by its Canadian, Australian, and New Zealand counterparts. The latter, however, stood out by pushing its index to the weeks highest peak of 3.1 points, reached when the currency plunged with Wednesdays weak GDP data.



The past period was quite erratic for the Greenbacks significance measure. The gauge had a few ups-and-downs and was fluctuating in the range between 0.11 and 0.69. The bonds between USD/EUR and other dollars pairs have somewhat weakened compared with the previous readings. Thus, average values of the observed USD/EUR components have lost 0.05-0.2 points. The most notable lowering occurred in USD/EUR correlations with USD/GBP. The only exception was the USD/SEK component, whose average was in row with the previous value. The aggregate, in turn, has declined by 0.1 points.

Highlights of the latest Market Research release on GBP.
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After establishing the stable tendency to grow in the beginning of the period, the British Pound decided to lead gains in course of the whole week, while outperforming the majority of its counterparts on the foreign exchange market. From Wednesday till Monday, the only Sterlings competitor was the Swiss Franc; however, sharp losses of this currency on Tuesday resulted in the unconditional leadership of the Pound by the end of the period. It rallied the most versus the Kiwi (+2.4%), as the New Zealands currency continued to retreat for a third week in a row. Meanwhile, Australian Dollar was the second best performer last week, but it managed to accumulate just a 0.53% weekly increase in value, while the Sterling rallied 1.12%.



Last week was quiet in terms of volatility of the British currency, while from time to time the local UK fundamentals failed to cheer up market participants in order to force the currency to show any active changes. Elevated volatility indicator was just at 22% for the Sterling during the preceding week, even though it outperformed the markets average gauge of 17%. Among the components, GBP/CHF was turbulent in 37% of all time, which is proved by more dynamic development of the Swiss Franc last week. On the contrary, the Pound/Kiwi cross was the most tranquil, showing the elevated volatility index of only 13%, as the NZDs turbulence was negatively influenced by this currencys predictable movement to the downside, while no noticeable spikes or drops occurred at any time, except Wednesday.



Significance of the UK currency, calculated as an average correlation between different crosses of the Sterling, showed no homogeneous trend during the June 17-23 time period. There were three distinct time slots, when the GBP composite was either above the mean historical level (Wednesday), below it (Thursday-Monday) or hovered just around this mark of 0.47 (Tuesday). At the same time, the average correlation coefficient stayed below the historical mean at 0.41 points. This fact underlined the dominance of low correlations, which used to have a considerable impact on the composite last week.