Dukascopy Research Thread

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If you’re wondering what to read during the weekend, here’s an idea:

Quarterly Report: Q4 of 2015

The global economy gives no reasons for celebration. It seems the situation is even worse than three months ago, when we thought we had hit the rock bottom. Alas, further deterioration is only becoming increasingly likely.

Looking back at our previous quarterly report, the world was mostly concerned with China because of the devastating quake in the country’s equity market. As a result, the Chinese government was forced to roll back some of the reforms that were aimed at opening and integrating the economy. At that time Greece also occupied a large portion of the headlines, but do not mistake current tranquillity for absence of grounds for concern; it will surely come back to bite us, as the problem was not resolved for good. The talks between creditors and Greece only postponed a decision bound to be painful in any scenario, whichever path will be chosen in the end.

With the latest events these topics are receding into the background, but this is hardly good news, considering that reasons to be pessimistic only keep piling up. The latest readings on the US labour market turned out to be a big negative surprise. It remains to be seen whether the indicator will rebound, but whatever the case this shows a significant weakness in the US economy. We no longer guess in which month the Fed is going to hike the rate, but rather in which year.

The other regions fail to generate optimism as well. Whatever rhetoric there was in the past, the Bank of England is nowhere near monetary policy normalisation. The real United Kingdom economy is hardly improving, which is an evidence of low transmission mechanism effectiveness, and such a malaise is nowadays common among the developed countries. The banks are criticised for focusing too much on the asset prices rather than on the real economy, which in turn is on the verge of a new wave of crisis, as we see a massive exodus of funds from the emerging markets, currently the only bright spot on the globe.

At the same time, the ECB and BOJ are barely holding off from further stimulus, seeing that their previous attempts are not yielding tangible results. Perhaps it is high time officials do something about this, before the disease of barely positive inflation and subdued growth becomes chronic; however, the bankers’ toolbox appears to be empty. Flight to quality is thus set to persist, and arguments in favour of recovery are unlikely to appear any time soon.

Trade thoughtfully and take care,
Dukascopy Research Team

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Full research is available here.

Highlights of the latest Market Research on USD:

The past week was rich with market-moving news, and the observed currencies reacted to them with a few rather wide moves. The broadest downslide was suffered by the Aussie’s gauge, which was hit by the greater-than-expected decline in Chinese imports and lost almost 2 points within the day. Another impressive plunge happened to the SEK Index, as it slipped on unemployment numbers on Thursday morning and lost 1.5 points by late afternoon. Meanwhile, the Kiwi’s gauge enjoyed the longest rally, as it reached its low of 99.3 points on late Tuesday and then raced to peak above the 102 mark at the end of the period.

Despite all the shifts in the currency indexes, volatility on the market was borderline subdued, with most overturbulence portions below 30% and average index values around 0.85 points. Nevertheless, there were four currencies that drove their volatility measures above the 2 points line. The first such spikes happened on Tuesday, when the pound and the krona reacted sharply to unexpected numbers in national CPI releases, pushing their indexes to 2.5 and 2.4 points, respectively. The other two peaks were reached on Thursday by the Aussie’s and the dollar’s gauges, where the former rose to 2.2 points as the Australian dollar zigzagged on a mix of growing consumer inflation expectation and downbeat labor data.

During the first half of past trading week the Greenback’s significance measure was slightly varying around the significance threshold of 0.3 points, as there were no US economic releases on Monday and Tuesday, and started to appreciate only on Wednesday noon. However, Tuesday stood out for the conspicuous movements of the krona’s and the pound’s composites, which reached the week’s highs. CPIs of both economies significantly impacted the domestic currencies, and, as a result, the correlations among the SEK and the GBP instruments grew notably.

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Highlights of the latest Market Research on GBP:

Markets were extremely calm and tranquil during the weekly period ended October 20. Market leadership was immediately taken by the New Zealand Dollar on Wednesday of the previous week and gains were preserved until the very end of the period. The Pound was the second-best performer as it also rallied by more than one full percentage point. On the side of gainers, the Aussie, Loonie and Franc also managed to advance in value. Meanwhile, the Swedish Krona tumbled as much as 2.54%, pushing its loss against the British currency to 3.4% on a five-day basis.

As the major Pound’s changes were observed in the first two days of the researched period, volatility of this currency also showed uplifted readings during that time. All in all, turbulence remained fairly weak, which is proved by Elevated Volatility indicators for both the market and the Pound separately. The former one stayed at 25%, somewhat above the UK currency’s 20%. As mentioned before, commodity-linked currencies strongly affected markets last week. Thus, GBP/CAD, GBP/AUD and GBP/NZD enjoyed the highest elevated volatility in the range between 28% and 35%. Meanwhile, the usually-tranquil EUR/GBP cross has unsurprisingly been volatile in just 15% of all time.

Currency significance was extremely low during the observed time period, meaning that the market was predominantly driven by currencies other than the Sterling. The mean correlation coefficient for this currency fell as low as 0.3 points, way below the historical average of 0.4 points. On top of that, the indicator missed all monthly, half-year and annual average correlations of 0.33, 0.37 and 0.36 points, respectively. The components have therefore had longer tails this time, with some of them dipping noticeably below zero.

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

The observed indexes had another dynamic week, packing the second half of the period with wide moves. One of the most hectic currencies was the Loonie, whose index was governed by the federal elections on Monday and Tuesday, and hit on Wednesday by the BoC statement and its downward revision of the GDP forecast, thus swaying between 98.5 and 100.0 points. The NZD Index was another active measure, as it suffered downslide on Tuesday, fueled by the DRT auction, plunged further with the Aussie’s gauge on Wednesday morning, and then went into a rapid recovery to finish the period with the second-greatest weekly gain.

The past week was rather calm, as volatility of both the market and the single currency did not notably exceed the average historical level. The only exception was Thursday, when the ECB president Draghi’s speech undermined the domestic currency and strongly influenced its counterparts. As a result, the market volatility measure nearly reached the 2.0 level, and the EUR Volatility Index surged to the week’s high of 2.85 points, the highest peak among all observed currencies. Meanwhile, the Loonie, the krona and the franc became the most turbulent currencies with 23%- 26% portions of elevated volatility.

The first four trading days of the observed period were calm for the Euro’s significance measure, as it was hovering around the level of 0.3 with no economic releases from the Euro zone to notably influence the bonds between the single currency’s pairs. Thus, the distributions of the EUR/USD components shifted down slightly, though most of their average increased compared to the previous readings. The most notable strengthening was observed in the component containing EUR/AUD, which showed the upward trend throughout the period and added 0.2 points to its average.

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

The observed period was successful for the Greenback, as its index was rising steadily during the whole week and finished it in the best performer’s position, gaining from 0.22% to 3.22% against its counterparts. Meanwhile, the single currency’s negative reaction to Mario Draghi’s speech on Thursday made it the second-worst performer of the period. The Swiss franc and the Swedish krona followed the Euro, showing 2.68% and 3.22% loss. The reaction of the Aussie and the Kiwi, in turn, was the opposite, and they finished the week with 1.49% and 1.17% gains, respectively.

The aggregate volatility on the market edged down from the previous week’s moderate readings, and only the last two days of the period were at least somewhat dynamic. Intensity-wise, thought, volatility remained on the same levels it occupied in the previous periods, and the highest peaks were capped by the 3 points line. The highest value of 2.9 points was reached by the Euro’s gauge against the background of Mario Draghi’s press conference on Thursday and the associated plunge of the single currency. The same event pushed the krona’s measure to 2.3, the period’s second-highest peak. Other splashes above the 2 points line took place on Friday. At noon, the Aussie’s and the Kiwi’s gauges jumped as the PBoC announced a rate cut, and later the Loonie’s measure followed as Canadian inflation numbers came out worse than expected.

The past week was another one for the USD composite to spend below its counterparts as there were very few releases which notably influenced it. Moreover, the bonds between the USD pairs weakened compared to the monthly figures, and the distributions of the USD/EUR correlations were skewed towards the zero. The Kiwi, in turn, remained the most significant currency, with its gauge varying around the 0.7 level. It reached the week’s high on Tuesday, just after the GDT auction ended with a drop in the milk prices. The moment was also associated with the deepest drop of the US dollar’s gauge.

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

Initially it was rather hard to choose, whether this report should be focused on either the British Pound or the Canadian Dollar due to busy fundamental calendar from both countries during the observed period. However, the presence of high-importance UK GDP data this week shifted our decision towards the British currency. Even though it spent all the time above the base line, the weekly gain reached only six tenths of one per cent. The Kiwi rose the most by 1.9%, in anticipation of the RBNZ rate decision on Oct 28. US Dollar surged 1.6% on the back of weaker Euro, while the Yen was up by 1%.

Among all fundamental releases from the United Kingdom, only retail sales seem to have had strong influence on volatility readings of the UK currency. Otherwise it was driven predominantly by important events from abroad as we certainly had a lot of them last week. Elevated volatility of both the market and the Sterling was equal at 24%, being that only Thursday and Friday were marked by somewhat uplifted turbulence, while during other days it has barely crossed the key mark of 1.00 point. The most volatile cross was GBP/CHF (32%), as the Franc was pricing in the possible Swiss National Bank’s intervention in case it will be necessary in the medium term, to prevent the national currency’s appreciation.

Correlations of the Sterling were following their own way of development during the researched time period, because they were partly dependent on events happening inside the UK, while also looking at the international picture. All in all, significance of the UK currency was hammered by unexpected or low-probability events, with Chinese Central Bank’s rate decision and ECB’s ultra-dovish language being among them. Some of components have therefore had super long tails, including the correlation between two Pound’s majors with the Euro and US Dollar.

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Highlights of the latest Market Research on EUR:

The past trading week was rich for the sharp moves of the indexes, but saw little directional evolution as the gauges barely broke out of the 99.0-101.0 points tunnel. The most dynamic day of the period was Wednesday, when all the observed currencies displayed strong reactions to economic events. The day started with the release of weaker-than-expected CPI in Australia fueling expectations for another rate cut, and the AUD Index tumbled 0.8 points, losing its place in the appreciation area. Next up was the Riksbank, and as the regulator announced an increase of its QE program and its readiness to cut rates and intervene into the market, the krona rallied, nearly breaching the 101.0 mark. The main market-moving event of the day and the period, however, was the release of the Fed’s statement. As the market saw the regulator hinting to a December rate hike, the dollar surged, sending its index above the 101.0 level and sending its peers into different directions.

After a relatively calm previous week, the Euro’s elevated volatility portion shifted up from 18% to 32% in the past five trading days. Moreover, the measure of all observed currencies ranged from 26% to 32%. The only exception was the Swedish krona, which spent more than 40% above the historical level. The Riksbank’s monetary policy announcement and the increase of the Swedish retail sales forced the krona’s turbulence gauge to jump to 1.79 and 1.38 points, respectively. However, the most notable surge of the krona’s index, as well as the ones of the most of its peers, happened after the release of Fed’s statement.

With the head start from Mario Draghi’s press conference on October 22, the Euro’s correlation composite spent most of the period above its monthly average, shifting its distribution to the higher levels. Among the EUR/USD components, the strengthening was observed in the pair’s bonds with EUR/CHF and EUR/NZD, with the former raising its average to 0.46 from 0.15 in the previous period. Meanwhile, the Kiwi’s gauge signaled the strongest correlations, its composite posting an average of 0.64. The Aussie’s and the krona’s measures were close behind with the means of 0.59 and 0.53, respectively.

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Highlights of the latest Market Research on USD:

After finishing the previous period in the best performer’s position, the dollar’s index spent most of the week struggling to hold the level and ultimately posted a near-zero change. Meanwhile, the last week’s losers, the yen’s and the Loonie’s gauges, were showing upward trends during the period and together with the GBP Index became the top three performers. The Aussie, in turn, was lowering throughout the whole period and finished the week with a 1.42% loss, brought down by the Australian CPI numbers.

In the past trading week the Greenback’s volatility picked up, with overturbulence portions for all index’s components climbing above 25%. Among the dollar’s peers, the most turbulent currency was the krona, whose gauge spent 38% of time above the two-week average and posted the mean value of 0.98. Close behind were the Euro and the franc, both with readings of 35% and 0.95. Meanwhile, the dollar stood among moderately turbulent currencies, but its index reached the period’s highest peak of 5.21 with the currency’s sharp reaction to the Fed’s statement on Wednesday.

The dollar’s correlation composite retained its subdued stance, even though the boost from the Greenback’s reaction to the Fed’s statement pushed the measure’s weekly average up to the long-term readings. The post-Fed strength also shifted up the USD/EUR components’ distributions, most notably for the bonds with USD/CAD, USD/GBP and USD/AUD. The pair’s correlations with USD/CHF, on the other hand, slid down, putting most of its values below the longterm median. Meanwhile, the Pacific currencies’ composites posted the strongest results, with the yen’s and the krona’s measures close behind.

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Highlights of the latest Market Research on AUD:

There are three major currencies, which are worth mentioning in this report. Canadian Dollar and British Pound were two best performing currencies among G8 majors last week. The former gained almost two full percentage points for the period ended Nov 3, while the UK currency traded around 100 basis points to the north during the researched five days. Australian Dollar was strongly depressed and traded firmly below the baseline until Monday, but regained enough strength in order to register a weekly spike in value of 0.18%. It rose the most against the Kiwi, which established itself as the main underperformer with a loss of 1.7%.

The Aussie acted decisively from the first minutes of the period. Volatility of this currency was mainly driven by domestic events in Australia, as well as by international news from US and Canada. Statistics from all above mentioned countries was successful in sending the AUD Volatility Index above the normal level of 1.00 points. Elevated volatility of the Aussie has therefore stayed below the market average, at 24% versus 32%, respectively. The most volatile crosses were AUD/NZD and AUD/CAD. The Kiwi was declining, while awaiting employment data from New Zealand on Tuesday, while Canadian Dollar was volatile after the GDP data back on Friday of the last week.

Contrast to low significance of the Australian Dollar in the middle of the period, this currency registered very high levels of correlations on Wednesday and Tuesday, the first and last days of the researched time period, correspondingly. For a long period of time we have not seen the composite reaching 0.92 points. This event happened Wednesday morning, when Australia’s inflation data was ready to be released. Divergence between different crosses of the Aussie started to be very noticeable on Oct 29. Then the weekly low was hit at 0.27 points for the composite. It resulted in longer tails for some of the components and especially for AUD/EUR & AUD/USD.

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Highlights of the latest Market Research on EUR:

After a some positive movements in the beginning of the week, the Euro seemed to settle for a downtrend in the past three trading days. The single currency weakened against six of its eight observed peers, most notably against the Australian Dollar that added its own strengthening to the Euro’s decline. However, the EUR Index was not the one to posting the greatest loss among the observed gauges, the New Zealand Dollar, and the Swedish Krone outperformed the single European currency in its looses. Meanwhile, the most dynamic days of the period were Wednesday and Thursday, when the biggest amount of economic announcements was released.

Volatility remained subdued on the market in general, and even more so in its observed EUR components. The maximum values of volatility, however, were renewed, as Friday, Wednesday and Thursday brought in sharp peaks to both the market’s and the single currency’s indexes. Among the Euro crosses, EUR/GBP, EUR/CHF, and EUR/SEK reported the greatest portions of elevated volatility, while EUR/CHF and EUR/SEK spiked to highest values. There were two main reasons for such a significant change in how the volatility was distributed across the days, and both of them concerned the Euro zone.

After the slight increase of the Euro significance measure in the end of the previous period, the composite continued to hold on quite a low level, fluctuating within the range of 0.21-0.59. The mean values of most components also remained virtually unchanged. The only exceptions were EUR/USD correlations with EUR/NZD and EUR/SEK.

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Summary
[ul]
[li]The sentiment of professors continued to recover going into the final quarter of the year after a precipitous fall in August when China’s equity market crashed, causing a spillover effect across the globe. Nevertheless, slowing growth in emerging economies, particularly in China, remains a topical issue on the agenda of economists and central bankers.
[/li][li]Even though academia experts short-term outlook for Europe’s economy improved strongly, the gauge remained in negative territory for six months in a row, indicating pessimism continued to prevail. The reading came after official data showed a negative growth in consumer prices in the Euro region, suggesting ECB stimulus measures have yet to bring desired results. The three-year outlook remained firmly in green zone, as the ECB reassured that it stood ready to deploy extra stimulus package to support the economy.
[/li][li]The six-month sentiment index for North America remained unchanged in October, whereas the long-term gauge declined slightly by 0.02 points. Professors’ mood appeared to be unaffected by the Fed’s decision to keep rates on hold at the long-anticipated September meeting.
[/li][li]Despite ongoing concerns over economic health of developing countries, the six-month outlook for Asia-Pacific surged in October, while the reading which tracks professors confidence in the region’s prospects in the three years from now edged up modestly.
[/li][/ul]

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Highlights of the latest Market Research on USD:

The past week was slow for the observed indexes, as most of them held parallel to the baseline in the narrow range between –1% and +1%. Notable exceptions were the dollar’s and the Pacific gauges. In the appreciation area, the Aussie’s index entered Tuesday on an upsurge, finding support in RBA’s rate statement, and then made another break with narrowing trade deficit reported on Wednesday. The Kiwi’s measure, on the other hand, went North, undermined by falling dairy prices and weak labour data, and ultimately ended the period with the greatest weekly loss. Among other gauges, the pound’s index distinguished itself by tumbling 1.2 points on Thursday, when the dovish mix of the BoE announcements and Carney’s speech pushed the national currency down.

During the trading week all the volatility indexes without exceptions spent most of time below the average historical level. The Greenback with 16% portion of elevated volatility turned out to be among the most tranquil currencies, however, its higher than 4.5 spike was the most conspicuous past week. Meanwhile, the Kiwi became the most volatile currency, but its Pacific peer, the Australian dollar, was the calmest against the turbulent historical background with only 11% portion of elevated volatility.

The past week was a period of rather weak correlations between the USD pairs, with the US dollar significance measure making only a few jumps above the 0.4 level. But the Friday’s surge was exceptionally strong, and thus the measure fluctuated from 0.18 to 0.89 points. Averages of the composite and most of the USD/EUR components have risen, gaining 0.01-0.17 points over the monthly values. The only exception was the bond between USD/EUR and USD/GBP. A slight weakening was observed through the whole period, and the dovish tone of the BoE on its “Super Thursday” pushed the component into the negative area.

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Highlights of the latest Market Research on GBP:

Despite an overall short period of analysis, namely three days from Wednesday till Friday of the previous week, there are plenty of economic events that are worth mentioning and that were driving currency markets last week. The undisputed leader of the period was US Dollar, which surged by 1.72% on the back of ultra-positive US employment data. Country’s companies added 271,000 jobs in October, way above 181,000 expected by the markets. The Pound lost 1.85% versus the Greenback. Meanwhile, the Sterling managed to advance only against the Euro (+0.21%) and Australian Dollar (+0.09%) as they weakened amid stronger American currency.

Volatility of the Sterling exceeded average reading for the market, owing to surprising news from the Bank of England on Thursday and positive US labour market and wage numbers. Elevated volatility for the Sterling amounted to 23%, which was somewhat below the numbers we have seen several weeks before. GBP/JPY and GBP/SEK crosses helped to outpace the mean market elevated volatility of just 16%, being that they posted these indicators at 30%. We could expect all currency pairs of the Canadian Dollar to be turbulent as well. Indeed, the GBP/CAD pair registered the third-largest maximum volatility for the period at 4.68 points after GBP/USD’s 5.59 and GBP/JPY’s 5.23 points.

Significance of the Pound Sterling could be very low for the period ended November 10. However, this indicator was helped by the Bank of England’s data on Thursday, which pushed the composite significantly to the north and improved the mean correlation coefficient, which surged to 0.43 points. This reading was above 0.34-0.36 points posted for the past month, six months and last year. Traditionally low correlations were posted by first and second most traded GBP crosses, namely the Cable and EUR/GBP. As a result, this particular component had longer tails than others as it used to fall deeply into red on Friday and Monday.

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Highlights of the latest Market Research on EUR:

The Euro index continued to strengthen the tendency of decline throughout the week, moving in the narrow band between 98.9 and 100.0. It reached its lowest point on Thursday morning, losing more than one per cent of the initial value. The index was highly affected by *European Central Bank President Mario Draghi comments who underpinned expectations for further stimulus, possibly as soon as next month. Nevertheless, later on, the index started its slow growth and climbed to 99.81 points mark by Friday. The EUR index managed to outperform other indices in terms of the Thursday’s development showing the biggest grow. With that the EUR index significantly outranged the JPY and the SEK indices, and took the lead over its AUD and NZD.

Elevated volatility of the European single currency was hovering around the median readings of several preceding weeks, as it stood at 20% versus 16% for the market during a five-working-day period from November 6 until November 12. These numbers were also reflected in the mean volatility index, which reached only 0.81 points. There were only two major spikes in turbulence registered throughout the week, and one of them has been created solely by the dollar, which posted considerable reaction after the surprisingly strong US monthly payrolls. Therefore, EUR/USD was turbulent in 30% of all time.

The Euro significance measure had a few ups-and-downs and ranged from 0.27 to 0.61 during the past week. The average values also remained almost unchanged from the previous period. Only three components lifted their mean levels. Thus, EUR/USD mean correlations with EUR/JPY, EUR/GBP and EUR/CAD gained 0.03-0.08 points. In terms of long-term values, current averages of almost all observed correlations shifted up, pulling the overall Euro significance with them.

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Highlights of the latest Market Research on USD:

The Greenback’s increase caused by the better-than-expected US labour data on November 6 was replaced by the downward trend, and the dollar spent the whole period in the negative area. The UK economic data report on Wednesday made the pound the best performer of the week. The Aussie nearly matched the Sterling’s strength. On Thursday, the encouraging Australian employment data pushed the AUD index to 101.23. However, afterward the Aussie has slightly declined and ended the period with 0.79% gain. Thursday also was marked by the several speeches of the ECB and Fed leaders. Thus the Euro index has lost 0.31 points after Mario Draghi said that the ECB is planning re-examine monetary easing at the December meeting. However, a few hours later the Euro started to grow and reached the 101.12 mark against the background of the Fed’s Yellen’s speech.

Despite all the shifts in the currency indexes, volatility on the market was borderline subdued, with most overturbulence portions below 20% and maximum index values around 1.5 points. The Aussie and the krona were the only exceptions. Volatility of the former skyrocketed on early Thursday just after the announcement of 0.3% decreasing unemployment. As a result, the AUD Volatility index reached the 4.36 mark, but the AUD /USD measure spiked to 4.59 level. In addition, the market’s index reached the week’s high at 1.54. The krona, in turn, was zigzagging throughout the week against the background of inflation and other less notable Swedish economic releases and, thus, having 27% elevated volatility portion became the most turbulent in terms of it.

Despite the fact that the dollar started the week with a sharp drop, the average values of the Greenback’s significance measure and most of the USD/EUR components have increased comparing with the both the short-term and long-term values. The most notable strengthening was observed in bond with Pacific currencies. Thus USD/EUR correlations with USD/AUD and USD/NZD exceeded the previous averages by 0.22 and 0.18 points respectively. The USD composite, in turn, added 0.06 points comparing with the previous period. However, the aggregate ended the week with the 0.39 points lost.

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Highlights of the latest Market Research on GBP:

Australian Dollar and British Pound were two major competitors for leadership during the researched time period ended Tuesday of this week. Initially the UK currency was the best performing currency. At the same time, the Aussie’s spike on November 12 made it clear that South Pacific currency will become the week’s best performer. Overall, a weekly rise for AUD Index reached 1.4%, while GBP rallied by circa 1% over five trading days. Another commodity-linked currency, the Kiwi, was depressed by unchanged inflation expectations from the Reserve Bank of New Zealand, which tried to raise them by losing policy requirements. NZD Index was therefore down 1%.

Volatility Index for the Sterling was ironically quite turbulent itself, judging by the picture drawn in the main chart. Some local spikes in volatility were immediately changing by huge dips down to 0.4-0.5 points, and we observed no stability during the whole time period from Nov 11 until Nov 17. As the Pound volatility spent most of its time below the historical average, it forced the reading of elevated volatility to decline to just 17%. However, even in this situation the GBP surpassed market average of just 14%. The least turbulent cross was GBP/NZD (9%), being that the Kiwi was gradually losing ground, while Pound used to rise steadily. Top volatility was posted by GBP/SEK at 26% last week.

Significance of the Pound, measured as an average correlation between different pairs of this currency, has slightly exceeded the readings we observed earlier in our previous reports on the Sterling. Mean correlation coefficient reached 0.38 points and overshot 20, 130 (half-year) and 250-day (annual) averages of 0.36 points. Two least volatile and therefore well-correlated components were the ones of EUR/GBP with GBP/CHF (0.72 points) and GBP/SEK (0.79). At the same time, traditionally the least correlated component included the Cable as European and US session were pushing EUR/GBP and GBP/USD in different directions.

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Highlights of the latest Market Research on EUR:

Continuing the negative trend the single currency and the Swiss franc again have become the worst performers of the week. Loosing against all other observed currencies except Swiss frank, the Euro has depreciated by 1.6%. The decrease of the franc was a little less — 0.68%. For the other closely observed currencies, CHF and SEK, as well as for the New Zealand dollar the past week also was failed. At the same time, the most notable growth was observed in the dollar currencies. During five trading days the Greenback and the Aussie have gained 0.19% and 1.1%, respectively.

The week was rather tranquil with only few events that notably influenced the market volatility. The most volatile in terms of the elevated volatility portion, was the Swedish krona. Its volatility measure has spent 24% of time above the 1.0 level, which indicates the average historical level. However, the biggest index’s values was obtained by EUR/JPY, namely 2.5 points mark, after the announcement of Japanese Gross Domestic Product. Japan’s economy shrank again in the third quarter, underscoring the challenges Prime MinisterShinzo Abefaces in trying to engineer a sustainable recovery.

The period was marked by the high values but a general downtrend in the average correlation between Euro crosses, which suggests great amount of economic announcement from other regions. In Tuesday’s morning, the Euro went down notably despite data showing that German investor confidence rebounded this month, as the diverging monetary policy outlook between the Federal Reserve and the European Central Bank weighed.

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Highlights of the latest Market Research on USD:

The period was fairly smooth for the observed indexes, as most of them did not sway farther than +/-0.5% from the baseline. A notable exception was the Aussie’s gauge that rallied throughout the second half of the week and posted a 2% growth over its Monday value. Another rally was coined by the Kiwi’s index, as both Pacific currencies seemed to have benefited from the Greenback’s post-FOMC feebleness. Meanwhile, the franc’s gauge posted the greatest loss after spending the whole week on a downtrend.

Even against the background of several tranquil weeks, volatility on the market remained extremely subdued, with both the Greenback’s and the aggregate measures holding below the two-week means for 90% of time. Moreover, elevated volatility portions of all observed currencies did not exceed the 15% level, and the spikes of the indexes did not reach even 2.0 points. The Aussie looked the most tranquil, put against the background of several relatively turbulent weeks, and reached only 6% of overturbulence.

After the previous week’s lowering, the Greenback’s significance measure showed an upward trend. The composite was fluctuating in a range between 0.21 and 0.65, but its average gained only 0.01 points over the previous period’s reading. Most of the USD/EUR components also showed a slight increase. The most notable rise was observed in the pair’s bonds with the USD/AUD and USD/NZD, which gained 0.12 and 0.07 points, respectively. The average value of the component with USD/GBP, in turn, has lost 0.07 and 0.04 points compared with the short-term and long-term values.

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Highlights of the latest Market Research on AUD:

Last week was extremely busy, with different types of fundamental data releases. Apparently, almost all of them were published outside Australia, which is the main currency of discussion this time. Despite the mentioned fact on the lack of news, the Aussie used to be the most bullish currency of the period ended November 24. During the first part of the week it shared leadership with the New Zealand Dollar, which eventually gained 1.08% in five trading days, while AUD rallied by 1.84%. A clear loser was the British Pound, which was actively depreciating on Tuesday after comments from BOE Governor Carney who said that interest rates will rise very slowly.

The Aussie’s volatility was broadly following other countries’ events, which made it quite dependent on other regions to see somewhat more active trading throughout the weekly period ended on November 24. Considering lack of local statistics, the AUD elevated volatility of 15% can be logically justified. Moreover, it lingered behind the all-market uplifted volatility indicator of 19%. Only the AUD/USD cross was shaken up slightly more than other components, mainly due to large presence of US fundamentals last period, including second-revision GDP and FOMC meeting minutes. Here the elevated volatility reached 23%.

Significance of the Australian currency calculated as an average correlation between various pairs of this currency and measured by the composite indicator stood at largely high levels from last week’s Wednesday until Tuesday of this week. Initially correlations used to be subdued, partly due to behaviour of several separate components that turned red at some points of time. The vast majority of components, however, hovered firmly in green but failed to completely avoid situations with low or negative correlations. As a result of that, some components used to have their tails extending somewhat below zero last week.

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Highlights of the latest Market Research on EUR:

The period, which put most of the observed indexes either on or above the baseline, resulted in a 0.8% loss for the EUR Index, making it the week’s second worst performer. The only peer to fall behind the Euro’s measure was the Pound gauge, which was weighted down by the decent data in the US and dovish sentiment coming from the Bank of England at Parliament’s Treasury Select Committee hearing set the dollar off on a tear on Tuesday. On the other side of the baseline, the Aussie remained the leader and posted a 0.84% weekly gain, greatly supported by the strong prices on the country’s export commodities while RBA Governor Stevens’ speech also weighed.

In a terms of the elevated volatility, the market and the Euro continued the previous week tendency. Thus the portions of elevated volatility of the aggregate and EUR were 24% and 22%, respectively. For the most of the components the past week quite turbulent. The major gainers were EUR/CHF, EUR/CAD and EUR/SEK, the components showed relatively high results, having held above the 1-point level 28% and 31% of the observed week. The highest peaks of the market and EUR volatility indexes even manage to reach 2 points. Among the components, EUR/CHF, EUR/AUD and EUR/CAD managed to overcome the 2-point level.

For the second week in a row the single currency significance measure managed to rebound. Thus in a three trading days the composite has strengthened by 0.35 points. However, the distributions of the EUR/USD components shifted down slightly, though most of their average decreased compared to the previous readings. The most notable loss was observed in the component containing EUR/CHF, which showed the downward trend throughout the period and lost 0.11 points to its average.