There is a slight policy divergence between the Reserve Bank of Australia and the Bank of Canada in that the BoC stand more hawkish. Also, there remains a disproportionate polarity in the supply-demand play in oil.
This suggest that the CAD currency will continue to strengthen in the coming weeks and quarters ahead; and, for the trend in the fall of the AUDCAD...
Buy the rumour, sell the fact. The ECB signalled an end to QE but the conditionality attached, plus the explicit timing-related forward guidance for future rate moves was interpreted dovishly by the market and sent the euro tumbling. That is obviously in contrast to the Fed, which seems to be growing more confident in the outlook for growth and inflation.
Our...
50 Delta ATM Volatilities:
USDJPY -
- $Yen has an ATM implied volatility curve of 55.95%mrkt 24.08%1wk 18.31%2wk 14.12%1m
- Obviously we are aggressively steeper in the front end, with BOJ tomorrow and JPY MOF Fiscal Package details coming next week providing heightened vol for the 1day and 1wk vols - naturally we then see the curve tail off as the event...
Following today's Service/ Manufacturing PMI miss (worst contraction in 88 months - since 2009) the Sterling market has come under significant pressure as BOE rate cut expectations increase with OIS rates markets pricing a 94% chance of a 4th Aug cut vs 85% before the PMI's were released.
Further, the PMI misses has attracted attention from UK Politicians e.g....
The Gross underpricing of ECB and FOMC Monetary Policy Changes - A fully-priced medium-term equilibrium Lower coming?
EURUSD:
*Short EURUSD 3m-12m Duration: 1/2lots @1.11 - 1.07TP1; 1.04-5TP2 1.01TP3
1. On Decemeber 2nd the ECB cut their rate by 10bps to 0.05%, paradoxically this actually caused EURUSD to rally higher. Thus this is a mispricing as...
On the 1D time frame, a strong positive correlation relationship emerges - where previously on the 4h time-frame the correlation looked relationship-less and "noisy".
However, looking back at the Daily correlation over the last 2-3 years for GU and EU one noticeable and significant trend emerges -
A steep fall in correlation, either from positive-lower...
