Market Research

Market overview for April 22 - 26, 2019: Volatility remains on extremely low levels. The AUD Index erases most of its April gains, the Loonie's and the Pound's measures stand on par on the YTD basis. Correlations between the Pound's pairs continue to normalise.

Currency Indexes (CI)

Most of the observed indexes continued to move sideways, with the Aussie's measure being the only notable player below the baseline, while the Yen's and the US Dollar's gauges were the only ones to climb above the +0.50% mark.

On the MTD basis, the AUD Index lost the leadership, surrendering the winner's position to its US peer, and the Yen's measure posted a positive result for the first time in April. In the long-term readings, the USD Index's YTD change came in positive for the second week in a row, while the Pound's result slid below the +3.00% line, losing its advantage and nearing the Loonie's reading.

North America: USD, CAD

The US Dollar's index reiterated its previous result, posting a 0.60% gain for the second week in a row. Also like in the previous period, the measure shared the leading position with its Japanese peer, though this time the Yen's gauge closed the week with a more palpable advantage. Still, on the MTD basis the USD Index came to be a clear leader, with April posed to become the third consecutive positive month for the measure, and the first 2019 month to see the US gauge post an over-1.00% growth. On the YTD basis, the USD Index posted its second consecutive positive reading for the first time since the beginning of the year, with the result now approaching the +1.00% mark.

The Canadian Dollar's index also extended its previous pattern as it remained flat for most of the period. As a result, it ended up with a near-zero weekly loss that had little effect on its medium- and long-term readings.

The CAD Index spent the Easter Monday dominating over its peers as it gained support from oil prices, which jumped with reports that the US was planning to revoke waivers to import Iranian oil that were granted to selected countries last year. Tuesday, however, saw the measure lose some ground as it first dropped with the Yen's rally in Asian trading, and then slide to the baseline in the afternoon.

Thus the CAD Index approached the BoC event near the zero level, and then tumbled by 0.45 pp to land in the negative territory after the release. The market noted that the previous mentions of "future rate increases" were now removed from the policymaker's statement, and additional fuel for the Loonie's downslide came from a cut in 2019 GDP forecast, with the two factors sending the CAD Index down in the week's second-sharpest 10-minute fall. Nevertheless, the losses were rapidly erased, and the measure jumped back into the positive territory during the BoC presser, with the central bank's Governor Poloz saying that rate hikes were "more likely than cuts" provided that the forecasts are correct. With no other major events in the Canadian economic calendar, the remainder of the week saw the CAD Index fluctuate around the baseline.

Europe: EUR, GBP, CHF

The Euro's index became one of two measures to report a notable loss in the past week. The gauge spent the first two days of the period above the baseline, but started to slide down on early Wednesday, reaching the -0.40% mark by the end of the week. The result served to erase nearly a half of the gains the EUR Index managed to accumulate over April, but its MTD reading fell to the third place, below the values posted by its US and Japanese counterparts. The Euro gauge's YTD change fell back below the -2.00% line.

The Swiss Franc's index posted a near-zero weekly loss, but technically still spent its fourth consecutive negative period. It opened the week 0.06 pp above the preceding Friday close, so its MTD reading improved a notch from -1.55% to -1.50%, but still stood to chare the worst performer's position with the Kiwi's gauge. The CHF Index also continued to show the greatest loss on the YTD basis.

With the newfound tranquillity, the Pound's index was another measure to post a near-zero result in the past week. The result saw its MTD growth drop to the +0.30% line, while its YTD reading fell below the +3.00% mark after holding above it since late February.

Asia-Pacific: JPY, AUD, NZD

The Yen's index spent its second consecutive positive period, pushing its MTD change above the +0.50% mark after three weeks of negative readings.

The Australian Dollar's index became the period's worst performer, posting a strong weekly loss of 1.15% after four periods of positive readings. The result knocked the measure down from the leading position on the MTD basis, with AUD Index losing most of the gains it accumulated over April.

The AUD Index started the week with a downslide, but its principal move south took place on Wednesday, when the measure lost 0.68 pp in the week's sharpest 10-minute fall after Australia's headline Q1 CPI came in below expectations. In the aftermath of the tumble, the Aussie's gauge moved sideways near the -1.25% line, with its end-of-the-week recovery lacking the strength displayed by its New Zealand peer and thus failing to raise the gauge above the -1.00% mark.

Meanwhile, the New Zealand Dollar's index posted a modest gain, which nevertheless allowed it to become the period's third-best performer. On the MTD basis, the measure edged up to share the lowest position with its Swiss peer.

The NZD Index spent the first three days of the period moving in line with its Australian counterpart, but set off a strong uptrend in Thursday afternoon, mirroring a downturn in the USD Index. As a result, the Kiwi's measure managed to break above the baseline on Friday, leaving the Aussie's gauge far below and thus inverting the recent pattern of posting losses while its neighbour reported gains.

Volatility

Volatility remained on extremely low levels for the third week in a row, with the reported medians ranging from 0.020% for the Euro to 0.024% for the Yen and the Kiwi.

North America: USD, CAD

The CAD Index's tumble after the release of the BoC statement fuelled the week's second-highest volatility peak of 0.096%. The highest individual readings were reported by GBP/CAD and CAD/CHF, with the Pound's index adding 0.13 pp and the Franc's measure jumping by 0.09 pp at the time of the Loonie's fall.

Europe: EUR, GBP, CHF

The GBP Index's sharpest move and the week's third-greatest 10-minute drop of 0.27 pp was observed on Tuesday and seemed to have no fundamental triggers. The move took place among the USD Index's rally, and GBP/USD was one of the pairs that posted above-average volatility at the time. Still, the highest individual value of 0.092% was reported by GBP/CAD, with the CAD Index adding 0.14 pp during its UK peer's fall.

Asia-Pacific: JPY, AUD, NZD

The AUD Index's 0.68 pp CPI-fuelled tumble pushed the Aussie's volatility to the week's greatest peak and the highest level the Australian measure posted since February 21 coal-related headlines. Here the main gainers were the JPY, the EUR, and the USD Indexes, while the Kiwi's measure was the only gauge to also post losses at the time.

Currency Pair Correlations

The period's most changed correlation medians continued to point at the normalisation of the relationships between the Pound's pairs. The most prominent was the weakening in the bonds between the safe-haven pairs, with correlations between GBP/CHF, GBP/JPY, and GBP/USD shifting more heavily into the insignificant levels from the elevated readings seen in medium- and long-term distributions.

Meanwhile, GBP/USD correlations with EUR/USD continued to recover, with their weekly median climbing up to stand on par with the half-yearly level.

Some notable changes were also observed in NZD/USD correlations. Thus the pair's bond with USD/CHF showed a strengthening, with its weekly median reaching the significance threshold of -0.50 points. Strengthening was also reported by correlations between NZD/USD and AUD/USD, all of which stood above the significance threshold in the past week.