G10 returns to moderate trendiness, caution on USD/JPY – Deutsche Bank

Shuaib Chowdhary, Macro Strategist at Deutsche Bank, explains that trendiness in G10 FX is picking up sharply, with aggregate VHF at the 69th percentile.

Key Quotes

“Aggregate realized vol has also picked up significantly and is now at the 87th percentile. AUD/USD is highly trending to the topside with VHF at the 82nd percentile. The pair is not stretched on RSI metrics and has a smooth price action on a realized volatility perspective. USD/JPY is our top trending pair. It is breaking new ground to the downside with both VHF and newgroundiness measures above the 85th percentile. The pair is the most stretched currency, with RSI and risk reversals both below the 15th percentile.”

“NZD/USD is moderately trending, not at all stretched and is the smoothest currency pair. USD/CAD and USD/CHF are moderately trending, the least stretched and have a smooth price action as per realized vol. GBP/USD has displayed low momentum with VHF at 7th percentile.”

“EM FX

  • USD/IDR tops our technical scorecard. The pair is moderately trending and is breaking new ground to the topside with the newgroundiness measure at the 96th percentile. It is not at all stretched as per both RSI and risk reversal (RR) metrics and has a smooth price action as measured by realized volatility metrics. USD/ CLP is highly trending with VHF at 94th percentile and breaking new ground (76th percentile) to the downside. However, the pair is extremely stretched with RSI at the 5th percentile.
  • USD/PHP is also highly trending with VHF at 97th percentile, not quite stretched and has a smooth price action. USD/HUF is moderately trending and breaking new ground. However, the pair is extremely stretched from RSI and RR point of view. USD/BRL and USD/CZK technicals have deteriorated as the currencies are exhibiting low momentum with both the trendiness measures below the 20th percentile.”