Dukascopy Market and Economic Research

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



The past week was unfavourable for the observed European currencies. The EUR Index lost 0.74% over the period, with the single currency posting losses against all its peers but the Swiss franc and the Swedish krona. The pound was the only European currency with a positive change (0.02%). Meanwhile, the Greenback became the leader of the week. The rise of its index started on Monday, against the background of the Euro’s fall caused by the Greek issue. Despite the disappointing US durable goods orders data, the next day was even much more successful for the Greenback, and the USD Index reached its maximum value of the week (101.43).



In spite of the fact that the period was rich with influential economic events, the market volatility during the period was mostly below the historical level and slightly exceeded it only in 11% of time. In absence of notable economic releases from the Pacific region, the Kiwi and the Aussie became the most tranquil against the turbulent historical background, and their indexes spent only 2% of time above the 1-level line. Steady depreciation of the single currency in reaction to the Greek issue discussion did not raise the Euro’s volatility significantly above the historical level and left the currency among the calmest ones.



The Euro’s significance measure was very unstable during the past week. The gauge had several ups-and-downs and was fluctuating between 0.36 and 0.69. However, the average of the measure, as well as those of the EUR/USD components, remained practically unchanged compared with the previous values. Thus the average of the aggregate has gained only 0.04 points.

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



The Greenback managed to overcome a series of setbacks, and its index spent the past week above the baseline, becoming the best performer of the period with a 1.58% gain. The USD Index held the leadership during almost the whole period, however, it lost the completion to the yen over the weekend. The Greek issue, which was the main driver for the Euro for the past few weeks and pushed the single currency below all its peers, has affected the market as a whole, too. Thus fears of weakening of the Euro zone and neighbouring economies led to the strengthening of the yen, and the JPY index jumped to 101.98 mark, gaining 1.72 points.



Volatility all but flatlined again in the past period, with Monday to Friday readings virtually unchanged from the previous week’s low values. The high of the period’s volatility fell on the weekend, when the Greek crisis escalated after the breakup of negotiations on Friday. With the announcement of a bailout referendum by the Greek minister and the subsequent rejection of aid extension by the creditors, the country entered the new week a bank holiday and introduction of capital controls, causing the Euro to tumble and volatility to spike. The market’s average turbulence reached 1.8 points on late Sunday and 2.1 at Monday midnight, while the sharpest reaction came from the yen that posted the greatest gains against the single currency, sending its volatility index to 3.3 and 3.6 points.



In its average readings, the dollar’s significance was little changed from the previous week, with the measures continuing to post values below monthly readings, but in line with longer-term means. However, the dynamic situation edged south as the composite showed no spikes and the USD/EUR components’ distributions shifted some more values into their lower tails. The most notable deviation was reported by the USD/EUR-USD/JPY component , which usually kept all its values above zero, but in the past week dropped a heavy tail into the negative side.

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



The previous trading week was exceptionally positive for the Japanese Yen. The currency performed on the positive side during the longest part of the period, while hovering confidently above the baseline. The Yen continues to act as the safe-haven currency, when turmoil persists on the market. Last week was perfect in terms of turbulence among market participants due to the Greek debt crisis, which increased bids for the Yen quite considerably in time when the talks broke down on Friday-Saturday. As a result, the Yen rallied 1.61% during the past five days, outperforming all its main counterparts by at least one full percentage point.



Volatility of the Yen has clearly followed general development of this currency that took place from Wednesday of last week until Tuesday of this week. The save-haven currency is usually showing mild levels of volatility due to lack of influential fundamental events from Japan and subdued impact from abroad-happening events. At the same time, Greek crisis seems to have driven markets far outside the single currency area. Therefore, the Yen was one of the most volatile currencies Monday morning, thus also driving the elevated volatility reading as high as 40%, above the 37% average reading posted by the market.



The average correlation coefficient for the Japanese Yen was again somewhat affected by the post-Greek events, when the currency showed phenomenal fluctuations on Monday morning. The composites five-day mean produced a reading of 0.5 points, below the historical average correlation of 0.57 points but far above all monthly, six-month and yearly numbers of 0.39, 0.4 and 0.44 points, accordingly. Correlations were predominantly concentrated above zero, while only a violin for EUR/JPY & USD/JPY demonstrated longer tails, extending towards 0.5 points.

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



The Greek debt deal continued to be the central issue during the past week. The Greek crisis had a particularly strong impact on the yen, which acted as a safe-haven currency and surged up over the weekend, gaining 1.7%. The rise of the yen has continued till the end of the period, making it the weeks best performer with a 1.79% gain. The period was much less successful for the Kiwi and the Swedish krona, which were the main losers and ended the week with 1.53% and 1.47% loss, respectively. The decline of the krona was caused by the Riksbanks decision to lower the interest rate from -0.25% to -0.35%. The drop of the Kiwi, in turn, was provoked by a number of events, particularly by the ANZ Business Confidence and the fall of the bi-weekly milk auction.



After a two-week lull the level of the Euros and the markets volatility notably rose. Thus, the Euro has spent 47% of time above the historical level. The portion of the markets elevated volatility was slightly smaller at 46%. The most volatile currencies were the Swiss franc and the Swedish krona, which both held above the 1-point level in 54% of time. Furthermore, the most notable peak was reached by the SEK Volatility Index and was associated with the Swedish interest rate cut, which pushed the krona down, putting the index at 6.4. The EUR/SEK jump was even more impressive the pairs index surged to 9.8.



During the period the composite was varying within a wide range of 0.25-0.92 points. All the components showed very strong bonds at the beginning of the trading week, putting the average correlation well above the long-term values. The rest of the period, in turn, was associated with feeble correlations between the Euro pairs.

June Release of Dukascopy Bank Sentiment Index
Full research available here.

Summary

1. Professors’ confidence considerably deteriorated in June compared with the preceding month. While the global six-month economic sentiment index remained unchanged, the three-year outlook markedly worsened, led by a precipitous decline in the Asian-Pacific and European long-term sentiment indexes.
2. Despite a breakdown in aid talks between Greece and its international creditors, the country's default on its loan repayment to the IMF and growing fears of Grexit, professors surprisingly remained calm. Europe’s six-month economic sentiment index retreated just by 0.01 point, whereas its long-term gauge plunged to 0.53, down from 0.61 in May.
3. The North America has finally started to recover after a wobbly start to the year. Consequently, professors felt much more optimistic about the region’s economy and its performance in the short-run. However, their confidence appeared to be dispelled when they assessed the economy’s long-term economic potential. The three-year economic sentiment index decreased by 0.08 points to 0.53, with the reading staying just slightly above the crucial 0.50 threshold.
4. The Asian-Pacific economy appeared to be the worst performer in June. Its six-month economic sentiment index declined by 0.05 points in the reported month, while the long term index plummeted by 0.16 points to 0.69.

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



The past five trading days were caught between two very dynamic weekends, but their own developments were no less intense. While the Euro spent the period shaking off its late Sunday losses, the effect of the Greek crisis seeped into its peers. The franc and the krona surged on Monday, but were both knocked down by the policy makers, with the CHF Index sliding back to baseline after the SNB confirmed its intervention in the Forex market, and the krona’s gauge tumbling on the Riksbank’s rate cut and the expansion of the bond-buying plan. The yen and the dollar were the other currencies to drive investors’ attention amid the Greek debt uncertainty, and both of them remained on an uptrend throughout the week. Among other news, the Loonie was hit by lowering oil prices and weak GDP, and composed the worst performers’ duo together with the Kiwi that slipped on a batch of feeble data on Tuesday.



The week was relatively turbulent for majority of the observed currencies. The US dollar, in turn, was among the calmest ones in terms of elevated volatility portion. However, several notable spikes of activity followed the domestic economic news releases. Meanwhile, the Swedish krona became the most volatile currency, as it was highly correlated with the troubled Euro against the background of Greek issue discussion, and, in addition, reacted strikingly to the Riksbank’s monetary decisions.



The dollar’s significance measure took a hard hit from the Greek debt crisis, falling well below its usual levels and lagging behind most of its peers. The greatest influence came from the yen, which turned many components red in the beginning and the end of the week. USD/EUR-USD/JPY correlation turned many of its values significantly negative, highlighting the opposition between the single currency and Asian safe haven. Among other currencies, the pound and the franc notably dominated the Greenback in the middle of the period, preventing the USD composite from holding above the 0.4 mark even as the currency’s strengthening was gaining pace.

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



Despite many important events from the UK alone that could potentially have a substantial influence on performance of the British Pound last week, this currency rejected to move far away from the baseline and traded only in a moderate bullish trend throughout the period. The GBP Index showed no major spikes or falls, except some weakness on Tuesday, which drove the currency indicator back down to 100 points. As a result, the week was ended with an increase in value of just 0.03%. The Sterling was showing a clear upward and downward tendency against the same number of other currencies. The highest surge was posted against the Australian Dollar, which was depressed by weak retail numbers released Friday. On the other hand, the safe-haven nature of the US Dollar and Japanese Yen forced these two currencies to climb 1.52% and 1.6% versus the Pound, respectively, and the main reason for this development was the ongoing Greek crisis.



Volatility reading of the Sterling was undeniably more active than the currencys general development index. There were clear periods of uplifted turbulence on the market, caused by important data publications all across the world including Britain. Moreover, one of the leading roles in volatility was played by the Greece, as the referendum on Sunday and the consequent rejection of creditors proposals forced many currencies to react strongly in the beginning of Asian trading on Monday. In the meantime, the elevated volatility of the Sterling has perfectly matched the same average indicator for the market at 38%.



Significance level of the GBP, calculated as an average correlation between different crosses of this currency, showed no stability during the observed time period. At the same time, the composite has mostly reflected important episodes of the working week and remained quite silent for the rest of the time. Meanwhile, the average significance coefficient of 0.33 stayed somewhat below the historical average of 0.36. Moreover, correlations were also slightly weaker than 20, 130 and 250-day averages. Among components, the majority of them have at least once fallen below zero, which resulted in fairly long tails of violins.

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



The yen was the star of yet another period, now harboring both European and Asian investors as the Greek crisis and Chinese stock tumble prompted them to seek safe haven in the Japanese currency. Meanwhile, the Chinese turmoil had quite the opposite effect on the Aussie. Hit by underperforming retail sales and receiving a lot of pressure from the developments in Australia’s biggest trading partner, the AUD Index crashed into a downtrend and finished the period with a 2% weekly loss.



The market faced another turbulent period, with most volatility brought in by the growing yen and the falling Aussie. The Euro, while being in the heart of the market-moving events, stood among the least volatile currencies and rarely acted as a primary cause for across-the-board moves. At the top of the stability list was the Swedish krona, which broke out of the roller coaster of the two previous weeks and whose currency index froze on the baseline after losing 1.5% on the Riksbank’s July 2 decision to cut rates.



The correlations of the Euro pairs were mostly below the previous weeks’ readings, as the single currency was relatively unmoving in anticipation of further developments in the Greek debt crisis and hardly reacted to any other news, limiting its significance on the market. The Aussie and the yen turned out to be the ones with the most notable market drivers during the period. The former strikingly reacted to the plenty of domestic economic events, including retail sales, interest rate decision and employment data release, all fueled by the pressure of Chinese developments. The yen, in turn, was drown by trade balance and securities investment data releases as well as the fact that in current conditions it is considered a safe haven for investors.

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



Having enjoyed an uptrend alongside the yen’s gauge during the pre-referendum week, the USD Index halted its advances in the past period, and after a couple of bounces off the baseline entered the new week back on the July 6 level. Its Japanese peer also finished the period on the base level, thought it did see considerably more action. The JPY Index surged earlier in the week, fuelled by uncertainty over Greece and the plunge of Chinese stocks, and then slumped on Friday as the mood turned positive on Greek negotiations, thus going two points up and two points down in the span of four days. Meanwhile, Friday’s developments pushed the EUR and the CHF Indexes up, allowing them to post weekly gains within the top-3 list. In the depreciation area, the Aussie had the bumpiest ride, shaken by the situation in China and falling commodity prices. Thursday’s employment data offered the AUD Index some support, but on Friday it slid back to the week lowest levels and ended the period with the greatest weekly loss.



More than half the time during the week the turbulence of both the market and the Greenback was above the average historical levels. However, the volatility spikes were not particularly impressive. Against the background of the Greek crisis, the safe haven yen became the most turbulent currency with 72% portion of elevated volatility. Slightly behind the leader was the Aussie, which was reacting sharply to the Chinese turmoil and Australian economic releases throughout the trading week. The Swedish krona, in turn, was less changeable than its counterparts, but, nevertheless, it was over-turbulent in 40% of time.



All the red on the USD/JPY components’ plots suggests that the yen’s pull greatly outweighed the Greenback’s influence on the market in the past period, and it was the Japanese currency that dictated the movements of the major pair. The yen’s significance was indeed the strongest among its peers, with its measure holding in the solid area above the 0.6 mark. The second-strongest was the Aussie’s gauge, thought it seems that the Australian dollar did not have an equally dramatic effect on its US counterpart. The Greenback itself kept its significance composite on moderate levels between 0.25 and 0.45 points, with most of its USD/EUR components holding around their averages.

Quarterly Report: Q3 of 2015

Finding a silver lining throughout the previous quarter proved to be a difficult task. Nevertheless, the risky currencies have performed relatively well compared to their safer counterparts since the previous report. Three months ago, there were good reasons to be hopeful, but in the end it turned out that there was too much complacency in the market and the world sighed in relief a little too soon. Back in April Grexit was only a hypothetical event, a word used to scare countries who misbehaved and were reluctant to implement structural reforms, but just a few days ago one less country using the Euro was about to become a reality.

Everyone is likely to agree that the problem itself is relatively small compared to the Euro zone as a whole, but it does not take much to deal a lot of damage to the monetary bloc. Convulsions throughout the periphery in 2012 proved the contagion risks are more than just significant, and, despite a number of mechanisms implemented by the ECB since then, the threat still lingers.

It is important to understand that the monetary bloc is not a race. It is not about winning. It is about getting to the finish line together, and this time around we failed to see determination of the European leaders to stick to this principle, as they do not allow those who cannot keep up the pace to stay. Perhaps it is not in the long-term interest of the bloc to leave the wounded behind.

There is no doubt that Greece was mismanaged by the previous governments, but it mostly shows that the Euro zone has a lot of work to do in bringing the countries closer together through better monitoring and guiding. The recent events have also forced us to rethink statements such as whatever it takes. Mario Draghi and many other officials were ready to accept Greece exiting the Euro zone, and this a strong signal for the other countries that no concessions will be made and no kind of blackmail will work.

The past six months leave us with a lot to think about. Prospects of the long-anticipated rate hike in the United States later this year coupled with the struggle of Greece to remain in the Euro area are unlikely to let the markets relax for a second. As September is getting closer, anxiety will be building up among the market participants, who will be closely scrutinizing every single gesture, every single sigh of Fed Chair Janet Yellen. Yet, misfortunes never come alone. The Chinese economys performance will dictate its rules over the course of coming months, particularly after the recent stock rout. Thus, make sure you are on the alert.

Trade thoughtfully and take care,
Dukascopy Research Team

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



In the first three days of the period it seemed that the Sterling was going to establish itself as the loser of the week. However, the situation started to change dramatically on Friday and this currency registered a strong 2% increase in value in just three working days. As a result, by Tuesday it became the periods leader, while gains exceeded one percentage point versus all but one currency, Only EUR/NZD advanced 0.61%, while EUR/JPY and EUR/CAD rallied most by 1.9% and 1.3%, correspondingly. The completely opposite scenario was shown by the Japanese yen last week, which started trading as a leader, but erased all gains in five trading days.



Turbulence of the British currency had a tendency to increase day by day during the previous five-day trading period. Moreover, everyday spikes in volatility have positively influenced the elevated volatility indicator as well, which fell slightly short of reaching the 50% mark. In addition, this time the markets average reading managed to match the Sterlings turbulence at 49% of all time. Among the components, GBP/JPY registered an uplifted volatility situation in 63% of all time during the observed period, as the Yen was preparing for this weeks meeting of the Bank of Japan. Employment statistics from Australia has also left a footprint on the weekly performance of GBP/AUD, which was the second most volatile currency pair of last week, as its Volatility Index was above the normal level during 57% of all time.



Without mentioning Tuesdays correlations, it should be underlined that the Sterlings currency pairs failed to register any noticeable united movement during the period ended July 14. Significance of the Pound, calculated as an average correlation between different crosses of this currency, used to be unusually low and the mean correlation coefficient has only averaged 0.33 last week. This reading was below monthly, six-month and annual numbers of 0.36, 0.35 and 0.38 points, respectively, even despite a surge that happened on Tuesday. Therefore, violins used to have quite long tails, as many correlations were located confidently on the red side.

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



As panic around the Greek debt issue subsided with the attainment of a deal, the previous weeks’ market shakers got replaced by the new main performers. Thus, the yen’s rally turned into a downfall on July 9, and while the JPY Index hung between -1.5% and -1%, the pound’s gauge took its place at the top. After sliding on Wednesday, July 8, the GBP Index picked up on Friday, and pulled well ahead of its peers at the open of the new week. The next days only widened the gap, as the pound was boosted by the BoE Governor’s comments on proximity of a rate hike, the index finished the period with a 3% gain. The period’s second-best performer was the USD Index that got a push from Yellen’s reassuring speech and some positive data on Wednesday. The same day brought the Kiwi’s and the Loonie’s gauges down, with the former weighted down by Yellen’s comments and falling milk prices, and latter plunging with the BoC rate cut.



Market turbulence receded in the past period, with the portion of elevated volatility decreasing from 49% to 33%. The Euro’s aggregate measure lost 10%, while the greatest declines occurred in the readings for EUR/AUD (from 50% to 34%), EUR/JPY (from 51% to 21%), and EUR/CHF (from 45% to 15%). The most volatile currencies, in turn, were the pound and the Kiwi, both overturbulent in 41% of time. The period’s sharpest reaction came from the Loonie, whose volatility index jumped to 4.8 points after the BoC cut its interest rate. Among the Euro’s pairs, however, the highest peak was reached by EUR/SEK, which surged on weak Swedish CPI.



After several anxious weeks when the Euro was reacting strikingly to the Greek issue discussion, the single currency finally had a quiet period without sharp changes of the rate and, thus, lower correlation between the pairs comparing to the monthly levels. Nevertheless, there was a couple of economic events that notably affected the currency and its significance measure.

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



As the Greek crisis passed into the background, and searching for a safe haven stopped being the main priority for investors, the interest rates’ race came back into focus, bringing forward new leading performers. The pound and the dollar were both boosted by the promises of not-too-distant rate hikes, with the indexes solidifying their dominance over the peers on Wednesday and moving up hand-in-hand until the end od the period. Wednesday also saw the tumble of the commodity currencies, as the CAD and the AUD Indexes lost around 1 point during the Blue Period, while the Kiwi’s gauge carried its decline over into the next day, ending up more than 2 points below the baseline. The Aussie’s measure, unlike its fellow-sufferers, pared its losses on Thursday and finished the week with the third greatest gain.



Against the background of the turbulent start of July, the previous trading week appeared rather calm, as only 24% of market volatility values were above the average historical level. The yen seemed especially calm, showing significantly increased volatility at only 12% after two weeks of great over-turbulence. Meanwhile, the most impressive readings were posted by the pound and the New Zealand dollar, both suffering 33% high portion of elevated volatility. However, the period’s sharpest reaction came from the Loonie, which tumbled with the BoC decision to cut the interest rate. Its index reached the 4.8 mark, but the USD/CAD index exceeded the 5.0 level and, thus, demonstrated the highest reading among the Greenback’s pairs during the period.



As the yen’s rally came to an end, its hold over the correlations on the market subsided, and the dollar’s significance measure edged up closer to its usual range. Among the USD/EUR components, the ones with USD/JPY and USD/CHF underwent the greatest changed. The former shifted away from the lower values, bringing its average from weakly negative to moderately positive and in line with long-term readings. The latter, in turn, strengthened above historical, pointing out the past period’s synchroneity between the Euro and the franc.

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



After falling around one percentage point on Wednesday, the first day of the period, the Canadian Dollar established itself confidently below the baseline for the rest of the week. As the same time, losses of the North American currency were initially overshadowed by the New Zealand Dollar, as the NZD Index slumped below 98 points by Thursday morning amid speculations that the Reserve Bank will cut interest rates this week. However, the Kiwi managed to erase losses in the early Monday trading, thus making it inevitable for the Loonie to be the biggest loser of the period. Meanwhile, the latter was quickly being approached by the Swiss Franc, which eventually lost 0.67% on a five-day basis, but was close to plunge as much as the Canadian Dollar, which in turn lost 1.05%.



Turbulence of the Canadian currency has predominantly respected the overall performance of the CAD Index. Except a strong spike in the volatility index on Monday, the currency was trading in a fairly flat way during the whole time period from July 15 until July 21. As a result, the elevated volatility indicator has barely exceeded ten percentage points and stood at just 15%. However, the Dukascopy Bank Volatility Index showed even smaller reading for the elevated volatility at just 10%. Among currency pairs, GBP/CAD was the most turbulent last week (30%) due to variety of fundamentals from Britain.



The Canadian Dollars correlations were somewhat below the historically-recorded levels last week. Significance of the Canadian currency, calculated as an average correlation between different CAD crosses, posted no substantial and valuable developments, only except Wednesday. Weaker movements were mostly caused by the lack of fundamentals at the end of the previous week and on Monday/Tuesday of this week. Among currency pairs, the highest correlation coefficient of CAD/EUR pair was observed with CAD/CHF cross during the period, namely 0.75 points.

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



Growth-wise, the past five trading days were undoubtedly the Kiwis period, whose index was set on climbing out of the pit it fell into on July 15-16. The defining surge came at the start of the week, when the NZD Index jumped 1.1% after New Zealands Prime Minister said that the currency already fell further and faster than expected. As the Kiwi was long since deemed overvalued and hurting the economy, the comment was taken as a good omen, pushing the NZD up from the multiyear lows it reached the previous week. As the idea was, to some extent, reiterated in the RBNZs statement on Wednesday, the index went into another rally, spiking to 102.4 points. Meanwhile, most of the other observed indexes spent the period largely below the baseline, with the Aussies, the pounds, and the Loonies measures posting the bottom-three results.



As the situation with the Greeces debt became less critical, the single currency has stabilized, and fluctuations of the Euro paled in comparison with the last few weeks turbulence. The decline of the volatility, which started in the previous week, has continued throughout the past period. Thus portions of the elevated volatility of the Euros aggregate measure and market composite have lost more than 25% of the previous values, reducing to 5% and 6%, respectively. The most turbulent component was the EUR/NZD index, which spent 24% of the time above its historical level. It also had the highest spike among the peer pairs, as it surged to 3.4 mark when the RBNZ monetary policy statement was published on Wednesday.




Much like the volatility readings, the averages of the Euro significance measure and its EUR/USD components have notably decreased compared with the previous weeks values. Thus the composite has lost 0.08 points, whereas averages of the components dropped by 0.04-0.28 points. However, there were two EUR/USD components correlations with EUR/JPY and EUR/CHF, for which the period provided some strengthening ground, and which have increased by 0.02 and 0.08 points, respectively. In total, the distributions of the composite and almost all components have shifted down, and their lower tails became heavier.

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



The period was mostly notable for the recovery of the previous week’s main losers, while most of the other indexes stayed largely unchanged from their past levels, posting only moderate losses. The week opened with the NZD Index surging above it peers after New Zealand’s PM said that, amid concerns over the overpriced currency, the Kiwi has actually fallen faster and further than expected. The stance was somewhat supported by the RBNZ’s statement, helping the index keep the best performer’s position up to Thursday morning. Eventually, however, the Kiwi’s gauge started to ease down, and was outpaced by the EUR Index, which entered an uptrend as the concerns over the Greek crisis cooled down. Meanwhile, the AUD Index was the only measure to post over 1% weekly loss, taking its main hit from disappointing Chinese Manufacturing PMI on Friday.



The past week was marked by a notable lowering in the portions of elevated volatility of the most observed currencies. The Greenback was no exception, and its index held above the historical level in only 20% of the time, losing 6% from the previous period’s readings. However, that was the third greatest value, with only the Aussie and the Kiwi posting bigger elevated volatility portions of 21% and 33%, respectively. For the market in general, the period was even more tranquil, as the aggregate volatility index spent only 11% above the 1-point level, 13% less than in the previous week.



Compared with the several previous trading weeks, the correlations between the USD/EUR and other dollar’s pairs were mostly above the average, as the Euro was relatively calm after the weeks of overstress against the background of active Greek issue discussions. It is worth noting that the average correlation between the USD/EUR and the USD/JPY increased more than twice, as during the past month the yen, as a safe haven currency, had a negative bond with the Euro.

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



During the period the majority of the currency indexes was varying in a range of -1% - +1% from the base value. Only a few gauges – the NZD, EUR and AUD indexes – went outside the boundaries, with the later tumbling below its peers, and the first two finishing the period well above others. While the Euro was appreciating throughout the whole period, fuelled by improving sentiment about the Greek issue, the Kiwi was notably fluctuating, posting gains after the RBNZ’s rate statement and Governor Wheeler’s optimistic economic conditions assessment, and weakening at the back of decreasing trade balance announcement.



With its rapid descent and early Tuesday rebound, the Aussie became the week’s second most volatile currency, topped only by its New Zealand counterpart. The greatest portion of turbulence was contributed by the AUD/USD and GBP/USD components, ushered not only by the Aussie’s moves, but also by its peers’ fluctuations, as the dollar and the pound both posted over 25% elevated volatility portions. Meanwhile, the period’s sharpest reaction came from AUD/NZD, when the Kiwi surged against its peers after the RBNZ eased its opinion on the currency’s excessive strength. The move was notably critical for AUD/NZD, as its 3.98 volatility index spike stood well above the Kiwi’s mean turbulence surge of 3.16.



The Aussie’s across-the-board weakening boosted its significance measure, lifting its pairs’ average correlations above the historical and making the distributions trim their lower tails. However, in terms of market influence, the Australian dollar competed with its New Zealand counterpart and lost, meaning that the AUD/NZD was largely affected by the Kiwi’s pull. Thus the AUD/NZD component was the only one among the AUD/USD combinations to post a lower-than-historical average and stretch the distribution into the negative area.

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



The Euro index was rather stable past week, and even spent the most of the time above the baseline. However on the last day after the disappointing German employment data and CPI the index fell below the historical level and ended the period with the 0.23% loss. The pound, which showed the upward trend since the release of the UK GDP on Tuesday, on the contrary, began to grow stronger against the background of the German news and became the leader of the period (+0.89%). The much less fortunate Swedish krona, the Aussie and the Swiss franc, which formed the top 3 losers and dropped by 0.43, 0.61 and 0.76 points respectively.



After the severe decline of the volatility last week, the overall level of the elevated volatility has slightly recovered during the observed period. Thus the market and the aggregate Euro index have spent more than 20% of the time above the historical level. However the most turbulent currencies of the period were the Swiss franc, the Aussie and the Greenback. Portions of elevated volatility of these indexes were 30%, 29% and 27% respectively. USD and AUD had also the highest peaks among the peer currencies behind only the Kiwi, which surged to the 3.15 mark at the time of the RBNZ Governor Wheeler speech. Spikes of the single currency volatility as well as the DC Volatility Index were much lower, only 1.5 and 1.43 respectively.



Despite the fact, that the past period was quite unstable for the Euro significance measure, and it ranged of 0.23 to 0.5, the average values of the aggregate and the EUR/USD components stayed almost unchanged compared with the previous week. Thus the most notable changes was observed in EUR/USD correlations with EUR/AUD, which gained 0.14 points. The largest weakening, in turn, was in bond between EUR/USD and EUR/CHFthe component lost 0.1 point. Compared with the long-term values, the composite and all observed component have slightly lowered. However the decline did not exceeded the 0.11 points.

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



Continuing the tendency of the previous period, the most of the time the Greenback has spent below the baseline. However the USD index managed to overcome the historical level and ended the week with the 0.1% gain. Thus the US dollar has overtaken most of the peer currencies, losing only the Kiwi (+0.26%), the Aussie (+0.52%) and the pound (+0.83%). On Tuesday after the UK GDP data showed the economy growth, GBP started to rise and became the best performer of the period. Nonetheless the most spectacular increase was made by the Kiwi, which started to climb ahead of the RBNZ governor Wheeler speech and on Tuesday evening reached the 102 level.



During the trading week all the volatility indexes without exceptions spent most of time below the average historical level. The Greenback with 28% portion of elevated volatility and higher than 4.5 spike was among the most turbulent currencies. The yen, in turn, became the most tranquil one, as the peaks of its index did not exceed the 2.0 level and, moreover, the elevated volatility was observed in only 16% of time.



Although the US dollar significance measure has risen by 0.32 points during the past period, the average values of the aggregate and the most of the components have slightly decreased. Thus compared with the previous weeks values the USD composite has lost 0.05 points, while the USD/EUR components has shed 0.02-0.12 points. Comparing the averages with the long-term values, the changes of the composite and observed components did not exceeded the 0.06 points. The only exception was the bond between USD/EUR and USD/JPY, which has strengthened by 0.23 points in comparison with monthly value.

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



There were no united movements among different currencies during the observed period. On one hand, the Aussie ended the week substantially above the base value, and it was accompanied by USD, GBP and JPY gauges. On the other hand, the Kiwi resumed depreciating and fell 1.59% in five trading days. Additionally on the downside, the Canadian Dollar, Swedish Krona and Euro managed to limit their losses up to 1%. The New Zealand currency showed a rapid descent at the back of pessimistic fundamentals, including business confidence and labour market.



With two significant spikes in volatility, the Aussie became one of the most turbulent currencies on the market during the reported time period. This currency has probably been topped only by the US counterpart, whose volatility gauge climbed above 4.5 after a release of the Employment Cost Index, which showed American workers suffered the worst pay rise since 1982. Therefore, elevated volatility for the AUD/USD component stood at 33%, well above the Aussies and market averages of 27% and 24%, respectively. Speaking further about this currency pair, its highest turbulence index skyrocketed up to 5.78 on Friday and was noticeably bigger than the overall AUD maximum gauge of 3.14.



There were two main reasons, which kept the Aussies significance measure on exceptionally high levels during the period. At first, correlations were stable around 0.5 points from Wednesday of the previous week until Monday, the period when the pair posted little changes in its value. Secondly, average correlations were boosted by the RBA key rate decision on Tuesday, when the composite was lifted well above the historical mean. As a result, distributions cut their lower tails, and only the one between AUD/EUR and AUD/NZD was stretched below zero. Meanwhile, the competition between the Aussie and Kiwi in terms of market influence is still visible.