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FX Financial Scorecard: Long JPY, USD, CAD And Short EUR, NOK, NZD‏

ByDanske Markets
Published 11/18/2013, 06:35 AM
Updated 05/14/2017, 06:45 AM
USD/JPY
0.15%

This week the scorecard recommends buying JPY, USD, CAD while selling EUR, NOK, NZD.

The USD/JPY rose more than 1% and broke above the 100 level in the week ending Friday 15 November. According to the model last week's sell-off is overdone, and the scorecard recommends buying JPY this week. Note, however, that the two input factors from the option market pricing, risk premium (implied volatility) and positioning (risk reversal), currently favour being short JPY as implied volatility remains elevated relative to other G10 currencies, and as the USD/JPY risk reversal has increased markedly over the past couple of weeks back into positive territory.

The EUR performed well last week, and as a consequence the scorecard recommends selling EUR this week. However, besides the negative signal from the FX score, we do not observe any strong signals on the euro. Hence, technical and interest rate inputs are slightly EUR negative, while the input factors for risk premium and positioning are EUR positive.

Last week's signals resulted in a 0.4% gain. Especially the long NOK position performed well, while the short EUR and NZD positions were expensive.


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

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