This week the scorecard recommends buying NOK, AUD and CHF while selling JPY, CAD and GBP.
Last week's sell-off in NOK seems overdone according to the model and thus the scorecard recommends buying NOK this week. The scorecard also recommends buying AUD as both the technical input factor and the input factors for risk premiums and option market positioning have a constructive view on the AUD. Finally, the long basket this week includes CHF as last week's sell-off seems overdone according to the model.
All input factors currently favour being short JPY and thus the scorecard recommends selling JPY this week. In particular, the input factor for option market positioning has a negative view on JPY following the past week's increase in 1M USD/JPY 25 delta risk reversal. The short basket this week also includes CAD as all input factors currently have a negative view on CAD. The scorecard also recommends selling GBP this week following the strong rally last week. In particular, the risk premium input factor has a negative view on GBP following last week's spike higher in 1M GBP/USD implied volatility while the input factor for interest rates still favours being long GBP.
Last week's signals resulted in a 0.5% gain. Year to date, the scorecard model has generated a total profit of 4.8%.
Next scorecard signals will be sent out on 23 June.
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