Dukascopy Market and Economic Research

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The past period saw more moderate developments than the one before it, and was notable for very little reaction to actual economic news. Nevertheless, the week was mostly positive for the observed currencies, as most of them posted positive or near-zero changes.



It was also notably calmer than the previous one and was clearly dominated by the Canadian and the New Zealand Dollars, with six highest volatility waves being formed by these two currencies.



Weekly correlation medians were little different from the monthly readings. Most developments concerned slight shifts in the bonds between the pairs with the Euro, the Pound, the Yen, and the US Dollar.

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The past week was largely a reversal of the previous periods. Thus the Euro’s, the Franc’s, and the Pound’s indexes posted negative weekly changes after three weeks of reported gains, while the Yen’s, the Aussie’s, and the Loonie’s gauges managed to rise above the baseline after three periods of weekly losses. Despite the overall turnaround, however, the week’s developments were not dramatic enough to change the year-to-date tendencies.



The period’s volatility landscape was somewhat dominated by the Asia-Pacific currencies, as the Kiwi’s, the Yen’s, and the Aussie’s gauges posted the highest average values and formed many of the period’s prominent peaks.



The past period saw relatively many changes in negative bonds, with five of the most changed correlation medians lying below the -0.50 line. In the previous periods the top ten contained only two or three negatively correlated combinations. Meanwhile, seven out of ten most changed correlation medians suffered a weakening, and six of them were produced by the combinations with the single currency’s pairs. Strengthening of medians, on the other hand, was observed in the combinations with commodity currencies paired against the Euro and the Greenback.

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The past week was largely the period of risk-aversion, as the safe-haven Euro, Swiss Franc, and Yen were the only observed currencies to raise their indexes well into the appreciation area and post positive weekly changes. Meanwhile, the Greenback, which was the main driving force behind its peers’ success, dropped its index below the baseline in the very beginning of the period.



The week’s turbulence profile was heavily dominated by the Yen’s volatility peaks, with the Japanese currency’s gauge mostly holding above the market average in the second half of the week. Nevertheless, the week’s highest volatility surge was a result of a reaction to macroeconomic data.



The past period saw only marginal changes in the median correlation levels, but most of those changes indicated the strengthening of the bonds.

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The past week was exceptionally uneventful for the observed indexes, with most of the gauges holding within the narrow ±0.50% range throughout the whole period. Two notable exceptions were the New Zealand Dollar’s and the Pound’s measures, which spent the period on the opposite sides of the baseline.



The tranquility observed in the currency indexes also translated into the volatility measures, with the past week’s being slightly behind the previous period in terms of turbulence levels.



Correlations stood in stark contrast to other indicators as they actually managed to show some rather substantial developments.

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The past week was rich with sharp moves, but the overall changes held in a relatively narrow range compared with two previous periods.



However, despite numerous sharp changes on average the past period was less turbulent than the one before it, and only outshined its predecessor in terms of the maximum volatility values.



After some relatively strong deviations from long-term medians reported in the previous period, the latest numbers were much more moderate, thought notably six of the top-ten most changed medians extended the past results.

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The past period was notably smoother than the previous one, with very few sharp moves and almost no direction changes. The week’s undisputed leader was the AUD Index, which made a U-turn from posting the second-largest loss of 0.71% in the previous period to becoming the top performer with 1.48% weekly gain. But while the Aussie’s index showed the greatest rebound from the previous readings, the Pound’s gauge suffered the week’s greatest fall.



Despite the relative smoothness of the Currency Indexes, the past period proved to be more turbulent that the previous one both in terms of average and median volatility levels. Unsurprisingly, the Pound became the leader in this respect, posting the greatest average and maximum volatility since the French-election-fueled turbulence spike on April 24.



The deviations of the weekly correlation medians from the monthly readings were marginal, and most of them were connected with the Pound’s strong move at the end of the week.

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The past week was largely disappointing for the observed currencies, with most indexes remaining flat and keeping on the levels below the previous period’s close. A notable exception was the Canadian Dollar’s gauge, which extended the previous period’s marginal 0.17% gain into a strong 1.72% weekly growth.



On average, the past period was roughly as turbulent as the previous one, though the week’s highest volatility peak stood almost 0.20% below the former high. Notably, both maxima were reached by the Pound’s measure.



The past period was marked by notable changes in the correlations, with eight out of ten chosen gauges shifting their weekly medians over 0.10 points away from the monthly readings.

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The past period was marked by a relatively narrow range of the currency indexes’ change, with a slight imbalance towards the negative side attributable to the Pound’s and the Aussie’s gauges.



On average, the week was marginally less turbulent than the previous one. The median volatility values ranged from 0.026%-0.027% for the Euro, the Greenback, and the Swiss Franc, to 0.031%-0.034% for the rest of the observed currencies.



The changes in the correlation medians were less pronounced than the ones recorded in the previous one period, but, notably, seven out of ten most changed weekly gauges continued to move in the same direction.

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The past week was marked by the ECB annual policy forum, and the most notable moves of the observed indexes were fueled by the markets reactions to the various statements of the central banks.



The past period was notably more volatile than the previous one, which was not unexpected considering the overall sensitivity of the currencies to the statements from the central banks. Lesser median volatility values of 0.030-0.033% were recorded for the Euro, the Greenback, the Swiss Franc, and the Aussie, while greater values of 0.035-0.037% were posted by the Loonie, the Pound, the Yen, and the Kiwi.The past period was notably more volatile than the previous one, which was not unexpected considering the overall sensitivity of the currencies to the statements from the central banks. Lesser median volatility values of 0.030-0.033% were recorded for the Euro, the Greenback, the Swiss Franc, and the Aussie, while greater values of 0.035-0.037% were posted by the Loonie, the Pound, the Yen, and the Kiwi.



The week saw notable deviations between the weekly and the monthly median correlation levels, and most of the changes were unsurprisingly due to the sharp division of the observed currencies into gainers and losers.

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During the past week there was a smaller range of currency growth relatively to the week before, yet there were more events causing significant changes in currency values. Globally the most important event of the week was the G20 Hamburg summit, causing certain level of uncertainty with the policies accepted within it and protest around the summit. However, on Friday when the summit took place strong changes possibly associated with it could only be observed in the Euro.

During the past week most currencies experienced relatively little turbulence, with the exception of the Australian Dollar, volatility of which peaked on Tuesday and the Canadian Dollar with a volatility peak on Friday after two smaller peaks in volatility of the Pound and the Yen.

The past period’s deviations of the weekly correlation medians from the monthly readings were marginal and five out of top ten most changed correlation medians weakened in the past week. Most developments concerned slight shifts in the bonds between the pairs with the Loonie, the Aussie and the Yen.

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The past week was rich with strong currency moves, which were fueled by the events of economic calendar. The past period’s absolute leader was the Aussie, whose index spent most of the week in a rally, starting from Tuesday, when the National Australia Bank announced Business Confidence data. The next sharp movement in the currency index was notable on Thursday at the background of the reported data in the US, and, finally, the Aussie’s index rapidly grew up on Friday, finishing the week 1.99% over the opening value, while the previous period it finished with a loss of 0.64%.

The past week experienced even lesser median turbulence than the week before. However, some currencies experienced increased volatility, for example the Pound experienced a slight increase in volatility on Tuesday, followed by the largest spike of the week occurring on Wednesday right after Bank of Canada published Monetary Policy Report and the Rate Statement and the Loonie’s volatility spiked. Right at the end of the week all observed currencies experienced a slight volatility increase, when the Bureau of Labour Statistics published its monthly reports.

During the past week currency pairs showed little difference in weekly correlation as compared to the historical correlation, with a slight exception from AUD/ CAD and USD/CAD, continuing the previously set trend of increasing correlation.

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The past period was notable for both numerous sharp moves and persistent changes, which put the observed indexes in a relatively broad range between 97.8 and 101.6 points.



The past period was slightly more turbulent than the previous one, in terms of both average and maximum volatility levels. The medians of all observed volatility indexes stood above 0.030%, with the greatest values of 0.034-0.036% recorded by the Pound, the Aussie, and the Kiwi.



The period’s numerous sharp moves produced moderate shifts in the correlation medians.

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The past week saw mostly positive developments for the observed currencies. But the most notable exception was the Swiss Franc’s gauge, which posted an over 3.0% weekly loss, falling well below its mostly strengthened peers.



On average, the past period was as turbulent as the previous one, with the median volatility levels ranging from 0.033% for the Euro to 0.038% for the Aussie.



The past week saw notable shifts in correlation medians, with the chosen top-10 comprising the gauges with 0.11-0.17 points gaps between the weekly and the monthly readings.

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The past period saw the observed indexes change in a moderate range from -1.50% to +1.30%, but was nevertheless notable for some relatively persistent movements both below and above the baseline. The most pronounced trends were observed in the negative area, with the decline headed by the Kiwi’s and the Loonie’s gauges.



In general, the past period was roughly as turbulent as the previous one, with the median volatility levels ranging from 0.033% for the Euro, the US Dollar, and the Pound to 0.038% for the Swiss Franc. The period’s highest peaks, however, were slightly lower that the previous ones.



The past period saw the greatest shifts in correlation medians so far, with three out of ten top changed weekly measures posting over 0.20 points deviations from the monthly readings.

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The past period saw most of the observed currencies keep their indexes in a relatively narrow range between +0.40% and -1.00%, though there were notable exceptions on both sides of the baseline. In the appreciation area, the 101-points line was crossed by the Yen’s and the Franc’s gauges, both of which were largely fueled by the geopolitical tensions. Meanwhile, the other side of the baseline was dominated by the Kiwi.



The past period was marginally less turbulent than the previous one, with the median volatility values ranging from 0.028% for the Greenback to 0.035% for the Kiwi.



The deviations between the weekly and the monthly correlation medians in the past period were more modest than in the previous one, with only four readings reaching above 0.10 points. The most prominent shifts were fueled by the divergence between the rallying Franc and the largely neutral Euro.

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While risk appetite remained one the main drivers of the market, none of the moves matched the previous period’s rallies, with the observed indexes staying in a relatively narrow range between -1.40% and +1.10%.

The beginning of the week saw tables turn for the currencies affected by the US-North Korea tensions, but on Tuesday the influence of the crisis subsided, and the market was taken over by other events.



The past period was slightly more turbulent than the previous one, with the median volatility levels ranging from 0.031% for the Euro and the Dollar to 0.037% for the Franc.



The period’s events did not cause any prominent shifts in the correlation medians, with none of the top-10 deviations between the weekly and the monthly readings reaching above 0.10 points. Notably, the three greatest shifts were the extensions of the changes observed in the previous periods.

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With the long-awaited Jackson Hole speeches scheduled for the end of the period, the week saw largely subdued movements on the market, and the observed indexes spent most of the time in an extremely narrow range of ±0.50%.

A notable exception was the Kiwi’s gauge, which returned to its downtrend after holding flat near the baseline in the previous period.

Other breaks out of the range were made by the Loonie’s, the Euro’s, and the Franc’s measures, which were also the only indexes to finish the period in the appreciation area.



As was implied by the largely flat currency indexes, the past week was relatively tranquil, with most of the median volatility levels standing at 0.030%.

Notable exceptions were the Euro’s and the Greenback’s turbulence measures, whose medians reached only 0.026%.



The past week saw some rather notable shifts in the weekly correlation medians, but, interestingly, the strongest of them represented a return to the half-yearly readings from the anomalous monthly distributions.

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The past week saw the range of the indexes’ moves widen compared to the previous period, with various gauges breaking out of the ±0.5% interval, and some crossing the ±1.0% lines.

On the year-to-date basis, the Canadian Dollar raised its growth over the 2.00% line, the result surpassed only by the Euro’s and the Aussie’s readings. Meanwhile, the JPY Index’s year-to-date change slipped back into the negative territory after three weeks of positive readings.



With the variety of sharp moves observed in the currency indexes, the past period finally saw a pickup in turbulence. Thus the median volatility values ranged from 0.032% for the Greenback to 0.036% for the Pacific currencies.



Meanwhile, the most prominent shifts between the weekly and the monthly correlation medians were observed in the relationships between the Euro and other safe-haven currencies.

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After a rather active previous period, the past week saw the Yen’s, the Franc’s, the Pound’s, and the Aussie’s indexes return to the ±0.50% range, while the Kiwi’s, the Loonie’s, and the Greenback gauges continued to show some wide moves.



The past period proved to be one of the most turbulent ones since late April, with the median volatility values ranging from 0.034% for the Greenback to 0.040% for the Swiss Franc.



The period’s events resulted in rather moderate shifts of the weekly correlation medians, but notably all but one of the top-ten changed distributions showed strengthening of the underlying bonds.

Also, in contrasts to the pattern of the previous periods, most the greatest changes took the distributions away from the long-term norm.

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The past period was relatively lively as most of the observed indexes managed to break out of the usual narrow range of ±0.05%.

The most notable moves were made by the Yen’s and the Pound’s measures, which spent the period on the opposite sides of the baseline.



On average, the past period was slightly less turbulent than the previous one, but still held among the most volatile of the observed weeks.

Most currencies posted median volatility levels of 0.034-0.036%, while the Euro was the calmest with the reading of 0.032%, and the Kiwi’s score of 0.043% was the highest since the Yen’s result in mid-May.



The past week saw fairly notable shifts in the correlation medians, with the greatest gaps between the weekly and the monthly values created by the period’s most volatile currencies – the Kiwi and the Pound.