CAD: Currency Index & Volatility

Relative Currency Strength

October 15 has already provided the significant negative impetus for the CAD Index, decreasing it to the level around 99.30 that it held for the rest of the analyzed period. On October 17, the index recovered all losses to reach the 100 mark, mainly due to inflation report, which was released in line with expectations. However, the period’s longest drop took place on Thursday, even though data on wholesale sales was released better than forecasted. In the last day of the period, the CAD Index advanced above the baseline, while it was mostly driven by external factors. Among other currencies, NZD surged 1.09% on a weekly basis, while USD slumped as much as 0.78%.

The Canadian dollar could certainly be considered one of the most active currencies of the October 15-21 time period. The CAD Index hovered below the baseline for the vast part of the week, however, it managed to gain value in the end of the week, namely 0.08%, if compared to the beginning of the period. The index showed a negative trend right from Wednesday until Tuesday’s morning, when it started to recover. Meanwhile, the currency rose against the majority of its observed peers, including USD and JPY by 0.77% and 0.52%, while it declined only against NZD and GBP by 0.91% and 0.59%, respectively.

Volatility

The USD/CAD currency pair’s average volatility index was one of the lowest among major CAD-crosses, however, this pair managed to register one of the biggest maximal values during the period at 3.57 points, helped both by data from Canada and the US. On Wednesday, US retail sales declined unexpectedly and producer price index came out lower than expected, which pushed the pair’s volatility up. Canadian fundamental data played an important role on Thursday and Friday, when statistics on manufacturing sales and consumer price index in this country was published. These releases, however, went along with news from US, meaning that both countries had a significant impact on pair’s development and its volatility during the October 15-21 time period.

The beginning of the analysed time period proved to be significantly more turbulent than last two days of it, still leaving the overall market volatility uplifted. Elevated volatility for the Canadian currency was located just above the market average at 49 versus 47 points, respectively. The CAD/JPY currency cross seemed to have the highest indicator of elevated volatility at 68 points, while the NZD/CAD pair was the least volatile. Concerning the volatility index, the highest average was posted by CAD/JPY at 1.41, with CAD/CHF following at 1.21 points.

Currency Significance

The CAD significance gauge started to surge on Wednesday afternoon and almost reached its peak at the 0.55 mark by the time the US retail sales data was published. Another hike, similar to Wednesday’s one, followed the CPI data release on Friday, but this time the significance index even hit the 0.60 level, the highest in the period. At the same time, due to contrast news throughout the week, the gauge was actively swinging between gains and losses, while after falling to the period’s minimum of 0.30 on Monday, the index did not manage to recover fully until Tuesday and finished the week at 0.50 points.

The Canadian dollar’s correlations were on a rather high level throughout the period. Significance of the Canadian currency, calculated as an average correlation between different CAD crosses, was mixed with lots of ups and downs. Such strong movements were mostly caused by big portions of news both from Canada, Europe and US, as the significance index swung between 0.60 and 0.30 during different time periods. Among currency pairs, the highest correlation was observed with CAD/CHF cross during the period.