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FX Market Update
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FX Market Update
Wed, Oct 15 2008, 16:36 GMT
by Danske Research Team
Today we are launching our new weekly publication, FX Market Update, which provides a handy overview of the currency market. For each of nine currency pairs, key information is shown including our short-term financial models, option implied distributions and volatility data.
Highlights of this week's FX Market Update:
- • Over the past month, the fall in equities, the lower oil price and a narrowing of relative interest rates have been vital in driving the short-term financial model prediction of EUR/USD lower. This week's turnaround in equity markets and decline in oil prices have raised the fair-value estimate for EUR/USD from 1.28 to 1.31.
- • The largest deviations from our short-term financial models are AUD/USD and NZD/USD, which are both trading well above the fair value estimates. The models indicate fair values around 0.67 and 0.57 respectively, primarily driven by the poor performance of equities over the past month.
- • Following the proposal of measures by governments around the world to address the financial crisis, implied volatilities have come down for all currency pairs in recent days, although implied volatilities for all pairs except USD/JPY and EUR/USD are still trading above the levels seen last week.
- • Since last week, EUR/USD risk reversals have turned less negative, reflecting the stabilisation of the spot level around 1.36.
Published on Wed, Oct 15 2008, 16:39 GMT
Archive
- Recent moves in EUR/USD and EUR/CHF are out of sync with our short-term models
Published On Wed, Nov 26 2008, 16:42 GMT - FX Market Update
Published On Tue, Nov 18 2008, 13:46 GMT - FX Market Update
Published On Tue, Nov 4 2008, 17:28 GMT - FX Market Update
Published On Tue, Oct 28 2008, 15:59 GMT - FX Market Update
Published On Wed, Oct 15 2008, 16:36 GMT
Danske Bank
| Holmens Kanal 2-12, DK-1092 Copenhagen
http://www.danskebank.com/ | danskeresearch@danskebank.com
Legal disclaimer and risk disclosure
This publication has been prepared by Danske Bank for information purposes only. It is not an offer or solicitation of any offer to purchase or sell any financial instrument. Whilst reasonable care has been taken to ensure that its contents are not untrue or misleading, no representation is made as to its accuracy or completeness and no liability is accepted for any loss arising from reliance on it. Danske Bank, its affiliates or staff, may perform services for, solicit business from, hold long or short positions in, or otherwise be interested in the investments (including derivatives), of any issuer mentioned herein. Danske Bank's research analysts are not permitted to invest in securities under coverage in their research sector. This publication is not intended for private customers in the UK or any person in the US. Danske Bank A/S is regulated by the FSA for the conduct of designated investment business in the UK and is a member of the London Stock Exchange. Copyright () Danske Bank A/S. All rights reserved. This publication is protected by copyright and may not be reproduced in whole or in part without permission.Related reports
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