The Loonie became the top performer of the period, its index fully recovering from previous week’s losses by Tuesday morning, and positive data on international trade and employment strengthening its position further in the end of the week. The Kiwi, too, shook off its preceding losses, while the pound continued to appreciate and ended the period with more than a 1% gain, closing the top three and leaving the peers far behind. The Swedish krona, in turn, lost 1.15% of its base value during Friday, thus finishing the period below all its counterparts. Despite the fact that the Greenback’s index changed notably during the period, the measure finished it virtually on the baseline.
The past week was one of the calmest since the beginning of the year, with the portions of elevated volatility falling closer to the customary 30%. The market’s gauge lost almost half of the previous period’s value, largely due to its Swiss component, which backed away from its recent levels and only managed to climb above the baseline in 3% of time. The dollar’s turbulence was around average among its peers, though the USD Volatility Index reached the period’s second highest peak of 3.6 points, one point below the Aussie measure’s rate cut prompted maximum.
The dollar’s significance measure has perceptibly increased during the period. Starting the week at a feeble level of 0.15, the composite eventually gained 0.44 points to end the period on the mark of 0.59. Nevertheless, there was little development in average correlations, with the gauge for most components shifting only 0.03-0.06 points lower, and not changing at all for the composite itself. The only strengthening occurred in the bond between USD/EUR and USD/CHF. In the five-day period the component has gained about 0.2 points, thereby drawing closer to the monthly average. Despite this rise, however, it stayed much weaker than its long-term values.
During last period ended February 10, the Pound used to be one of the best performers among major currencies on the foreign exchange market. The British currency was hovering above the baseline for most part of the period, only except a small time period in the beginning of the week. As a result, the currency was only outperformed by the Kiwi in terms of weekly gains, while GBP/NZD lost just 0.07% in five working days from Wednesday till Tuesday. The most noticeable gainers among GBP pairs were GBP/JPY and GBP/EUR which advanced 2.09% and 1.97%, respectively.
For the vast time of the period the British Pound’s volatility stayed considerably below the average level, only making small exceptions on Wednesday and Friday. This fact can be also proved by the elevated volatility index both for the Pound and market as a whole. The British currency used to be turbulent just in 11% of all time during the period. Moreover, this small number has even surpassed the market mean of 9%. The only two turbulence increases were fuelled by very specific news releases, which included UK Services PMI / US ADP employment change on Wednesday, as well as much worse than estimated UK deficit data two days later on February 6.
Along with the Volatility index, the main catalysts for Pound’s correlation changes were news releases both from the UK and abroad. Moreover, due to wide variety of data published and countries involved, significance levels of the GBP used to be different for all currency pairs of it. Judging from data provided by the main chart, we should point out that correlations stood at very low levels last week. The significance measure itself was located below the baseline for more than 80% of all time in the period, even though the average level was not high and stood only at 0.32 points.
The releases of significant economic news, which notably influenced the currencies, were concentrated on the first and the last day of the observed period. Only few releases took place on Monday-Wednesday, which, in fact, did not significantly affected the market. However, the CAD index was quite changeable during these days. For example, on Tuesday it decreased by 1.2% against the background of falling oil price. The most dramatic movements of the currency indexes occurred on Thursday. The day started with Aussie’s depreciation. The currency index lost 0.8% of its base value after the announcements of unexpectedly negative employment change and significantly growing unemployment rate in January.
In terms of elevated volatility portion the past period has been an extremely calm for the market and all observed currencies. The portion of the elevated volatility of the Euro retreated to 12% from 31%. The market, in turn, was above the historical level only for the 13% of the period. The most turbulent component of the period was EUR/SEK. Sweden decision to cut interest rate caused the increase of volatility in pairs containing krona. Thus on Friday the EUR/SEK volatility has surged to the 6.6 mark. Nonetheless, the volatility levels of the rest of indexes were far from highest, and EUR has one of the worst results in terms of its maximum value.
During the observed period the EUR significance measure was fluctuating in the range of 0.05-0.5. Nevertheless, comparing to the previous period, the average value of the composite has lost only 0.01 point. In turn, change of majority of the components was more notable. Thus EUR/USD bonds with EUR/CAD and EUR/NZD strengthened by 0.13 and 0.04 points, respectively. However, average values of other components containing EUR/USD declined, so the correlations lost from 1 to 8 points. The most noticeable change occurred in EUR/USD and EUR/JPY correlation. The average of the component decreased by 0.25, and the lower tail of the distribution was significantly shifted down.
For the second week in row, the Kiwi was one of the best performers with approximately 1.5% appreciation of its index. The pound’s index, which was in an uptrend since Tuesday, gained 0.7% and thus showed second best result. The Swiss franc, in turn, lost 1.2% of its value within two last days and became the worst performer. A rest of the currency indexes in the end of the trading week were ranked between the 99.5 and 100.5 points levels.
The past week was extremely tranquil for the market and all observed currencies. The Greenback and the market volatility indexes climbed above the historical level only in 8% and 9% of time, respectively. Portions of the elevated volatility for almost all components decreased by 1% to 39% compared with previous week’s values. The most noticeable fall was observed in AUD/USD and NZD/USD volatilities. The USD/JPY index showed the sharpest volatility peak of 5.2 points. The yen’s index as well as pairs containing JPY also showed the highest portion of the elevated volatility past week.
Unlike volatility indexes, the dollar significance measure was rather changeable during the past week. The composite experienced quite a few ups-and-downs and fluctuated from 0.25 to 0.59. The composite has gained 0.08 points compared to the previous period . The development was also observed in USD/EUR correlations with USD pairs containing the yen, the franc and Pacific currencies. The most significant strengthening was noticed in bond between USD/EUR and USD/JPY, in the five-day period average value of the component rose by 0.19 points. Moreover, distributions of correlations have shifted up and gathered around the averages.
The Japanese currency traded in a mixed environment during the period ended February 17. On overall, the vast part of the period was spent above the baseline, even though at the end of it the Yen lost its advantage and declined sharply to close the week with a negative growth of 0.43%. Moreover, there has been a mixed situation in its pairs with other currencies on the market. While the Japanese Yen managed to advanced considerably against the Swiss Franc by 1.11%, it dropped notably versus the New Zealand Dollar and Canadian Dollar, by 1.59% and 1.53%, correspondingly. Except JPY/EUR (-0.65%), other JPY pairs have barely exceeded the range of 0.50% in either direction.
The period was associated with extremely low volatility values for almost the whole length of the February 11-17 time period. The only exception has been made on Thursday, in time when a lot of important statistical indicators from around the world were announced. As a result, the elevated volatility index for the Japanese Yen stayed as low as at 11%, meaning that only slightly more than 1/10 of all time this currency used to have increased turbulence on the market. Among currency pairs, the highest elevated volatility was registered by the Dollar/Yen and Pound/Yen crosses, as both US and Britain revealed a lot of important indicators last week.
Taking into account significance levels of JPY, calculated as an average correlations between all currency pairs of the Yen, this currency was not one of the main drivers last week. The average correlation levels stood at 0.56 points during the week while for the vast part of the period the currency fluctuated around this mark and registered no constant development. At the same time, levels of JPY’s significance stayed, as usually, at relatively high levels, while last week’s mean correlation coefficient for this currency at 0.53 points has slightly exceeded 20-day average of 0.5.
The period, which put most of the observed indexes either on or above the baseline, resulted in a 0.4% 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 Swiss franc’s gauge, which was weighted down by the rumors of SNB intervention and ultimately gave away more than 2% of its Friday value. On the other side of the baseline, the Kiwi remained the leader and posted a 1.4% weekly gain, greatly supported by the strong prices on the country’s export commodities. Meanwhile, the Greenback continued to be number one on the long-term basis, whereas the Euro’s gauge stood among the weakest three.
The week was extremely calm for the market in terms of both portion of elevated volatility (only 1%) and values of the Volatility index (with maximum of 1.11 points). It is worth noting that relative tranquility of the period was pointed out by the volatility indexes of all observed currencies. The most volatile was GBP with 5% portion of elevated volatility and 1.87 being the highest peak of the index, which was reached on Wednesday morning, right after the release of decreasing unemployment rate. The New Zealand dollar, in turn, was the calmest, as its index never reached the average historical level.
The past period was quite successful for the Euro significance measure, as the composite has increased from 0.05 to 0.46 points during the week. Moreover, the strengthening was observed in almost all correlation components. Thus, EUR/USD correlations with EUR/SEK gained about 0.85 points past week. A notable raise also took place in combinations containing EUR/CAD, which gained around 0.78 points on average. The only weakening was observed in bond between EUR/GBP and EUR/CHF. The development was also observed in average values of correlations. Averages of observed components have gained in terms of both short- and long-term values.
After spending a week below the base value, the USD Index was fluctuating between appreciation and depreciation areas and managed to finish the period with a small gain of 0.23%. Nevertheless, it lost only to the krona and the Pacific currencies. The Kiwi continued to maintain the leading position for the third week in row, though this time the Aussie managed to jump ahead of it in the very end of the period. The Swiss franc remained the main loser. Nonetheless, showing the downward trend and falling to the 97.8 mark, on Friday the CHF Index rose sharply and at the end of the period was on the level of 99.
For the second week in a row, volatility of the market was extremely low, with the 1.92 peak of the USD Volatility Index being the highest among its peers. In terms of the portion of elevated volatility, the Loonie and the pound were the ost turbulent currencies, both posting a reading barely above 5%. The former was especially volatile on Friday, after the announcement of disappointingly negative retail sales. The latter, in turn, notably reacted to Tuesday’s and Wednesday’s economic news. Thus, the UK unemployment rate released on Wednesday induced the 1.89 points spike in the pound’s and 2.61 points spike in the GBP/USD Volatility Indexes.
The dollar’s significance measure remained moderate, but stable, with only a few news-driven deviations from its long-term average level of 0.4 points. The composite held below the majority of its peers throughout most of the period, highlighting relative independence of the Greenback’s movements across the observed pairs. On the whole, the franc’s composite held the leading position, richly supported by the currency’s prolonged weakening, while other top and bottom performers were changing too frequently to mark out any specific gauges.
The past five trading days were remarkably successful for the pound, whose index spent most of them well above its peers and posted its greatest long-term advance since the beginning of the year. Together with the dollar’s, the yen’s, and the Aussie’s measures, the GBP Index proved to be the most persistent among the observed gauges, with all four spending most of the period on an uptrend and suffering only some short-term dips. They also composed the group of indexes that ended the period with a weekly gain, with all other gauges either falling below the baseline on the last day or never lifting above it in the first place.
For the third week in a row, volatility of all observed currencies remained quite low. The portions of the elevated volatility for both the market and the pound were only 9% and 10%, respectively. The most turbulent currencies of the week were the Euro and the krona. Thus, the single currency’s volatility index spent 17% of the time above its historical level, while for its Swedish peer the reading was 21%. The past week was a period of slackness for Pacific currencies. Their gauges managed to hold above the 1-point level for only 3% of time.
The period was rich with influential economic releases on all the major currencies, so there were several periods of high and low correlation between GBP pairs. As a result, the distributions of the components had heavy tails. In spite of some notable spikes of the composite, measuring the significance of the pound on the market, the average of the gauge was below the long-term historical readings. GBP/USD and GBP/EUR demonstrated unusually low correlation, pointing out relative significance of the Greenback’s and the Euro’s movements in reaction to some economic events. Similar situation was observed in GBP/JPY and GBP/CHF correlation with GBP/EUR.
The first day of the period was volatile for all observed currencies. The most conspicuous was the Canadian dollar’s drop – its index lost almost 1% after the release of significantly decreasing retail sales. Thus, the currency remained on the worst performer’s position till BoC governor’s Poloz comments on Tuesday. Together with the majority of the currency indexes, it ended the period with less than 0.4% deviation from the baseline. The Swedish krona’s and the Kiwi’s indexes finished the period with more than 0.5% gain and became the top performers. The former reached the 101.25 mark on Wednesday, the latter, in turn, started to appreciate after the release of unexpectedly positive trade balance.
The turbulence on the market edged up from 1% of elevated volatility in the period ending on February 19 to 12% in the past five trading days, mostly fueled by anxiety over Greek bailout and speeches from the North American central banks. The Euro was the third most turbulent currency by all parameters, with its portion of elevated volatility and average volatility index level beat by the krona’s and the Loonie’s readings, and the maximum turbulence surpassed by the Loonie and the dollar. Subsequently, EUR/CAD was the most volatile single currency’s cross, with its portion of elevated volatility posted at more than double that of the market.
The Euro significance measure was quite dynamic during the period, ranging from 0.17 to 0.62, but ultimately posted only a 0.05 points change from its initial value. The composite’s average value remained unchanged from the previous period, though the averages of most of its EUR/USD components posted a 0.02-0.17 points growth. Notably, average correlation between EUR/USD and EUR/JPY returned to its usual level after two-week long weakening of the bond. The only decrease was observed in the EUR/USD correlation with EUR/CAD and EUR/SEK, the averages of which lost 0.08 and 0.10 points, respectively.
During the past trading week there were several events that notably influenced the observed currencies. The Euro became the worst performer, as its index finished the period with more than a 1.5% loss. Such result was greatly influenced by the ECB bond buying actions on Thursday. The most successful was the Swedish krona, whose index gained almost 1% after the Swedish GDP turned out to be much better than predicted. The Loonie was another currency to be greatly influenced by one major economic event, as its index surged to the 100.5 points level on Tuesday, against the background of the BoC governor’s Poloz comments, and remained on this level till the end of the week.
The activity on the market and among the dollar’s pairs has somewhat risen from the readings of the two previous weeks, though the latest level of volatility still remained low compared to the usual. The dollar’s volatility spent 10% of time above its historical level. The market portion of elevated volatility, in turn, was 12%. The period was quite turbulent for the Canadian dollar, as the Loonie showed the highest spike of volatility. The BoC governor’s Poloz speech on Tuesday pushed the index to spike to the 3.25 mark, causing the market’s measure to rise to its highest peak as well.
The dollar’s significance measure held firmly between the 0.35 and 0.45 points marks, thus standing close to its moderately strong long-term readings. Its components showed the same pattern of grouping around the averages, which, in turn, stayed mostly unchanged from the previous period. The only combination to shift notably higher was USD/EUR-USD/SEK, which lifted its average correlation 0.05-0.1 points above the long-term levels. Compared to its peers, the dollar’s composite showed below-average results, still remaining well below the top performing measures.
The Japanese Yen chose to stay on the side of under-performers during the weekly period ended March 3. At the same time, despite the fact that the JPY Index was located below the baseline for the whole week, it lost just 0.51% from Wednesday of the previous week till Tuesday of the current week. Among worst performing major currencies, however, were the Euro and Swiss Franc, as they lost 1.32% and 1.01%, correspondingly. Among particular currency pairs with the Yen, JPY/SEK dropped the most by 2.28% on a weekly basis. Opposite to that, the Japanese currency managed to gain 0.74% against the shared European currency and rise 0.45% versus the Franc.
The period was associated with extremely low volatility values for almost the whole length of the February 25—March 3 time period. The only notable exception has been made on Friday, especially in time of economic data releases in the United States. As a result, the elevated volatility index for the Japanese Yen stayed as low as at just 4%, meaning that only during 1/25 of all time this currency used to have increased turbulence on the market. Among currency pairs, the highest elevated volatility was registered by the Loonie/Yen and Aussie/Yen crosses, but it still stayed at just 19% and 16%, respectively.
Despite low correlations between different pairs with the Japanese Yen well-below 0.5 points, we could still observe a clear increase in composite’s value last week, showed by the main chart. Still, the mean correlation coefficient stood at just 0.37 points. This number was also far below monthly, 6-month and yearly averages, with all of them hovering around 0.50 points.
[ul]
[li]Although February is the shortest month of the year, it was full of economics and politics related news from all over the world. Given such a slew of data, it barely had a significant impact on global short and long term economic outlook of academia experts. Dukascopy Sentiment Index, measuring global economic prospects during the next six months, remained unchanged from January, while the three-year economic sentiment index rose slightly by 0.02 points to 0.68.
[/li][li]Tepid economic growth in the Euro zone, slowing pace of expansion in the UK, disinflation concerns as well as difficult negotiation between Eurogroup and Greece over the country’s bailout programme further dimmed experts’ mood. Thus, short-term economic sentiment index edged lower to 0.39, moving further away from the 50-mark threshold, which separates optimism from pessimism. However, professors appeared to be more upbeat about the region’s economic future in three years from now than in January.
[/li][li]While Canada is being hit by falling commodities prices, US growth has been undermined by slowdown elsewhere, as it weighs on demand for US-made products. Besides, threat of falling inflation is also chasing the region, which is also affecting the Fed’s decision on the timing of the first rate hike. Thus, the short term index retreated to 0.73 from January, while the three-year gauge remained intact.
[/li][li]There also a number of significant headwinds in Asia Pacific, including slowing growth, falling inflation; still, both six-month and three-year economic sentiment indexes rose in February. This indicates professors anticipated better economic conditions in the region in the foreseeable future.
[/li][/ul]
The EUR Index continued to go south during the first days of spring, finishing on the position of second worst after a particularly sharp fall on Wednesday. The only index to fare worse was the Swiss franc’s measure, which held on a steady downtrend since Monday and took its conclusive slump on Thursday. On the other side of the baseline, the krona remained the leader after the Friday’s GDP and retail sales fueled surge. The Loonie and the Greenback came in the second and the third, with the former spiking at the BoC policy announcement, and the latter starting on an uptrend after the release of faster-than-expected growth in the US service sector activity.
The past five trading days, much like the several previous periods, were tranquil for the observed currencies. The most volatile were CHF and SEK composites, both with 20% portion of elevated volatility. The latter strongly reacted to the unexpected growth of Swedish GDP, pushing the market volatility to exceed the average historical level on Friday. The Loonie’s index, in turn, reached the greatest volatility peak among its counterparts. It jumped to the 3.05 points level just after the publication of the BoC rate statement on Wednesday, putting the composite Market Volatility Index to its maximum as well. It is worth noting that Thursday’s ECB Monetary policy statement induced the same 1.75 points spike of the overall index. Thus, these two similar events in Canada and Europe became the most influential during the period.
The Euro significance measure had a few ups-and-downs and ranged from 0.2 to 0.59 during the past week. Nevertheless, its final change from the initial value amounted to only 0.05 points. The average values also remained almost unchanged from the past week, with 0.01-0.05 points weakening of the composite and most of its EUR/USD components. Only three components lifted their mean levels. Thus, EUR/USD mean correlations with EUR/CHF, EUR/CAD and EUR/SEK gained 0.07-0.08 points. In terms of long-term values, current averages of almost all observed correlations shifted up, pulling the overall Euro significance with them.
The US dollar was the undisputed leader of the past week, as its index finished the period with a 1.74% gain to tower over its counterparts. Thus, the yen index, the second best performer, was 0.7% behind the Greenback’s gauge. The period was also rather successful for the Loonie. The BoC interest rate decision has led to the sharp surge of the CAD, and the index has gained more than 0.7 points. For the second week in a row, the Euro continued to maintain its position as one of the main losers. The decrease of EUR has started on Wednesday and was mostly caused by the expectations of the ECB policy conference and growth of the US payrolls.
The past week, much like several ones before, was associated with relatively small portion of elevated volatility. The pacific currencies and the Swiss franc were the most turbulent during the week, with their volatility climbing above the average historical level in 20% of time. The most conspicuous spike of volatility was observed on Friday, when the Greenback’s index reached the 4.31 mark, and the market’s gauge surged to the week’s highest level. Thus, unexpectedly high US non-farm payrolls and decreasing unemployment rate became the most turbulent events of the period. Slightly behind were the BoC and ECB monetary policy statements, which induced two more 1.75 points spikes of the Market Volatility Index.
The average level of the dollar’s significance measure remained firmly near 0.4 points, though the composite showed higher than usual variation throughout the past period. Similar tendency was observed among its components, with USD/CHF correlations especially notable for their shift into the negative area. The bond between USD/EUR and USD/GBP, in turn, exceled with its strengthening, as most of the gauge’s values stood above 0.5 points.
Despite trading below the baseline for more than 50% from all time period between March 4 and March 10, the British Pound succeeded in gaining enough bullish momentum in order to gain value by Tuesday of the current week and close above 100 points. The currency added 0.61% on a weekly basis and used to be the fourth best performing, only giving a lead to US and Canadian Dollars, as well as the Japanese Yen. On the annual basis, however, the Sterling is currently the second fastest growing currency (+6.26%), while a clear leader is the Greenback which managed to appreciate by 17.39% since March of the previous year.
As can be seen from the main volatility chart, the period with the highest turbulence took place in first three days of the period, with the largest one registered on March 6. The portion of elevated GBP volatility at 24% was slightly below that of the market average of 25%. The mean volatility index has also been marginally below the market’s one. The highest elevated volatility indicator was posted by GBP/NZD currency pair, even though this cross used to be turbulent in just 45% of all time. The most tranquil Pound currency pair was GBP/JPY, which was volatile in just 12% of time during the period.
Significance level of the GBP, calculated as an average correlation between different crosses of this currency, was at low levels during the reported trading period. The average correlation index stood at just 0.25 points and the composite developed both from upside and downside of this mark during the period. Especially low correlations of different Sterling currency pairs took place in the beginning of the period, even though somewhat higher-than-average correlations were the case on Wednesday. Nevertheless, the minimum was reached a day later on Thursday just around 0.10 points.
During the observed period the Euro continued its steady depreciation and, as a result, the index finished the period on the 97.9 points level and below all its peers. Thus, the single currency has lost more than 1% against almost all its counterparts, excepting the franc and the krona, which shared the second worst performer’s position. Just like in the Euro’s case, their currency indexes followed a downtrend and posted a 1.2% loss at the end of the period. The Greenback, in turn, showed the best results.
Turbulence on the market finally picked up, putting the portion of elevated volatility at around 50% for most of the observed currencies. The Euro was the third most volatile in this respect, having its median volatility index value at exactly 1 point level, slightly above the market’s. EUR/USD and EUR/NZD were the most volatile pairs, based both on the overturbulence portions and indexes’ highest peaks. Thus, EUR/USD volatility reached its maximum with the US labor data release on Friday, and EUR/NZD index spiked as the Kiwi was pushed up by the RBNZ statement published on Wednesday. Meanwhile, among the Euro’s peers, the dollar and the krona showed the greatest turbulence in all aspects.
The past week was rather dynamic for the single currency’s significance measure, and it has ranged from 0.15 to 0.53 during the period. However, the average of the EUR measure, as well as the averages of most its components, remained on the usual level, losing only some points compared with the previous period. The greatest weakening occurred in EUR/USD correlations with EUR/AUD and EUR/NZD, with their mean values decreasing for 0.12 and 0.29 points, respectively.
The USD Index finished the period 0.6 points above its nearest peer, continuing on the uptrend that started with a push from positive PMI data on March 4 and then was richly fueled by the payrolls numbers on March 6. The second-best performer, the NZD Index, surged from below the baseline on March 11, when the RBNZ expressed a neutral stance in its policy and promised to keep rates stable for up to two years. March 11 was also the day when the EUR Index secured its position as the worst performer, with the single currency slumping closer to parity with the Greenback. On the long-term basis, the dollar’s index increased its gains to 19%, while the Euro’s gauge deepened its loses to 13%, both measures continuing in the directions they picked up in the beginning of the year.
After more than a month-long break, the activity of the US dollar came back to the usual level. The USD Volatility Index spent almost 50% of time above its historical average, with the portions of elevated volatility of its components notably increasing from the previous period’s values. The greatest change, 45% growth, was observed in NZD/USD. The Kiwi’s turbulence rose after the Chinese CPI and PPI releases on Tuesday, and continued till the end of the week, supported by the RBNZ interest rate decision on Wednesday and Wheeler speech on Thursday. It also made the Kiwi itself the most volatile currency of the period, with its overturbulence gauge at 65%. For other currencies, the measure varied from 36% to 54%, indicating the marketwise growth of volatility.
Correlations between the dollar’s pairs were high comparing to their historical levels. The distributions of the components were significantly skewed towards strong positive values. However, during the week there was no influential news that could made the Greenback a market driver, so the movements of the significance measure were mostly associated with other economic events.
The Australian currency performed in a fairly positive trend during the period ended March 17. This currency has not only hovered above the main baseline for the vast part of last week, but also used to be the second-best performer during Thursday and Friday, giving a lead only to the New Zealand Dollar. However, a slight downward change towards the end of the period allowed the Greenback and Japanese Yen to outperform the Aussie. The Australian Dollar itself rose 0.51% from Wednesday till Tuesday. The most substantial gain was posted by AUD/GBP cross which surged 1.91% in course of the previous trading week.
As the most important part of Australian fundamental statistics was released back on Wednesday and Thursday of the previous week, the volatility of this currency has perfectly matched this time-frame, being the highest during these two days. Concerning the elevated volatility index, it fell slightly short of 50%, while still staying above readings of the same indicator during a number of weeks before. In general, the Australian Dollar was turbulent in 47% of all time and more than 75% of time during Wednesday and Thursday. In the meantime, the elevated volatility was completely similar to the market’s average one.
Even despite the high volatility on the market, components of the Australian Dollar’s significance measure showed strong correlations over the observed period. By having a look at significance measures of the AUD, which are calculated as an average correlations between all Aussie’s crosses, we should underline that main drivers here used to be domestic factors from Australia; however, some international used had a substantial influence during particular periods of time. The average correlation, in turn, used to be 0.45 points, just above which (0.48) the composite closed the March 11-17 period.
The observed period was very successful for the Swiss franc, and, to some extent, for the single currency. The main losers of the past month finally took the lead and finished the week with 1.49% and 0.42% gain, respectively. The CHF Index became the best performer, while the Euro gauge yielded to the yen’s and the Kiwi indexes, though with a very small gap of 0.05% and 0.04%. Wednesday became the turning-point for most of the observed currencies. The UK and Japanese fundamentals, coupled with disappointing US and Swedish interest rates decisions managed the national currencies to notably decline. The franc, in turn, started to grow after the Swiss ZEW Survey Expectations report.
In terms of volatility values the period could be divided into two parts – Friday to Tuesday with 26% portion of elevated market volatility, and Wednesday to Thursday with a 69% mark. It is worth noting that during the first three days the single currency was the most turbulent, and its volatility was above the historical level for 42% of time. Friday’s talks on Greece’s bailout in Brussels were accompanied by notable increase in the Euro’s volatility, whose index reached the 1.7 mark. All in all, there was no any influential economic releases that notably influenced the currencies and their volatility during the first half of the observed period.
The Euro significance measure went over the top in the past period, rising from being one of the weakest composites to holding among the strongest gauges. Its average gained 0.1-0.2 points over the long-term values, with the EUR/USD components’ means gaining as much as 0.5 points for the combinations with EUR/JPY and EUR/CHF. The only EUR/USD components to not show any notable changes were the ones with EUR/GBP and EUR/SEK, as the former remained on a solid level and the later failed to break out from its feeble one. Meanwhile, all the rest shifted well above their long-term averages, indicating particularly strong positive correlation.
I have a question. Could you or someone please explain to me how I could use these weekly data of Dukascopy to raise the probability of my trades?
For example, if we take the results of last week: https://www.dukascopy.com/video/pdf/2015/03/20/MR.pdf
What data in this .PDF file may be an advantage for me, so that I can open a trade on next Monday for EUR/USD?
I mean, which data in this pdf file could give a signal or probability about the next trade regarding eur/usd:
when to enter
direction of the trade
argument (reason of the signal)
Could you please answer this question? Thank you in advance!
