Below we update our Currency Trading Range Screen, which is similar to our Commodity Trading Range Screen. We generally quote the currency crosses in question by market convention; for instance, EURUSD is typically used to show the relationship between dollars and euros, and represents the number of USD that 1 EUR buys. USDMXN, though, represents the number of pesos that 1 USD buys. Please keep this in mind when reading the table below. Over the last 24 hours we’ve seen a bit of a bounce in the greenback as USD crosses have pulled back. The Bloomberg USD Index, our preferred measure of broad USD strength from day-to-day, is still oversold and down over the last three months, but is legging slightly higher within its range. Our estimates of carry (derived from 3 and 12 month forward prices) show that short of EM, there’s very little interest rate differential to pick up from one currency to another. We also note that a number of currencies which have gotten hit hard versus the dollar (RUB, CAD, MXN, BRL, ZAR, INR, SGD) during the leg down in commodities during the second and third quarters are now trending stronger versus the dollar within their trading ranges.
If you’re looking for more currency analysis, our Bespoke Institutional offering is the way to go.