3 Feb 2015
FX volatility spreading to G10 – DB
FXStreet (Barcelona) - The Deutsche Bank Research Team comments that the FX volatility is spreading into G10 FX , with carry back as the key market drive.
Key Quotes
“Uniformity in the G10 FX universe remains extremely low. Exchange rates are no longer driven by the broad strong dollar theme alone.”
“Trendiness has risen to a three-year high. Unsurprisingly, however, volatility has increased sharply during the second half of the month.”
“The relationship of G10 FX with broad macro and market variables has also shifted in recent weeks.”
“Most notably, carry is back as a key market driver, but interestingly it is funding currencies – CHF in particular – that have appreciated relative to higher yielding currencies such as AUD and NZD.”
Key Quotes
“Uniformity in the G10 FX universe remains extremely low. Exchange rates are no longer driven by the broad strong dollar theme alone.”
“Trendiness has risen to a three-year high. Unsurprisingly, however, volatility has increased sharply during the second half of the month.”
“The relationship of G10 FX with broad macro and market variables has also shifted in recent weeks.”
“Most notably, carry is back as a key market driver, but interestingly it is funding currencies – CHF in particular – that have appreciated relative to higher yielding currencies such as AUD and NZD.”