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FX Financial Scorecard: Long JPY, NOK, GBP And Short AUD, CHF, NZD‏

ByDanske Markets
Published 12/09/2013, 05:02 AM
Updated 05/14/2017, 06:45 AM
USD/JPY
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USD/NOK
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This week the scorecard recommends buying JPY, NOK, GBP while selling AUD, CHF, NZD.

Again, this week the scorecard recommends buying JPY as the sell-off continued last week. 1M USD/JPY 25 delta risk reversal also declined further last week and according to the model the downtrend in the USD/JPY risk reversal offers substantial support to the yen. The long basket this week also includes NOK and GBP following last week's decline against the US dollar. In respect of NOK, the risk premium input factor also favours buying NOK due to the decline in USD/NOK implied volatility.

All input factors with the exception of FX score currently favour being short AUD, and thus the scorecard recommends selling the AUD again this week. Notably, the increase in implied volatility (risk premium) is negative for AUD, according to the model, and the technical picture appears to be negative as well. The NZD and CHF rallied last week and according to the model last week's gains seem overdone. Hence, the scorecard also recommends selling the NZD and CHF this week even though CHF sees substantial technical support and NZD is well supported by interest rates, according to the model's input factors.

Last week's signals resulted in a 0.2% loss. Especially, the long NZD performed well while the long JPY and the short SEK positions were expensive.

Next scorecard signals will be sent out on 16 December.

To Read the Entire Report Please Click on the pdf File Below.


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