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USDCAD Daily Update, June 23 2015 .pdf



Original filename: USDCAD Daily Update, June 23- 2015.pdf
Author: Terry Blumes

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Tuesday, 23 - June, 2015
USDCAD

OPEN

HIGH

LOW

CLOSE

Range (Pips)

NY

1.2342

1.2382

1.2315

1.2308

67

TOKYO

1.2308

1.2344

1.2308

1.2342

36

LONDON

1.234

1.2382

1.2315

1.2285

67

MTD% chg

3M% chg

6M% chg

YTD% chg

-0.89%

-1.50%

6.21%

6.16%
1.27
1.26
1.25
1.24
1.23
1.22
1.21
1.2
1.19
1.18

21-May

26-May

31-May

05-Jun

10-Jun

15-Jun

2y IRD/ USDCAD

0.3

USDCAD Market Update
The BoC noon day rate was 1.2288
yesterday. The Canadian dollar
continued to weaken to a two-week low
this morning against the U.S dollar. The
Loonie is stronger versus most of its key
trading partners despite its weakness
against the greenback. Crude oil has
reversed course this morning coming off
a $59.60 bottom now trading $60.98 up
1.00%. U.S Treasury prices fell for a
second straight day after U.S Fed.
Reserve governor Jerome Powell said
the central bank could raise rates in

20-Jun
1.3

38

WTI (LHS - Inverted)

USDCAD (RHS)
1.31

40
0.2

1.28

42

1.29

44
0.1
1.26
0

1.27

46
48

1.25

50
1.24

-0.1

52

1.23

54
1.22

-0.2

1.21

56
58

1.2

-0.3
2Y IRD (RHS)

1.18

Mar

Apr

May

1.17

62

USDCAD (LHS)

-0.4

Feb

1.19

60

Jun

64

Feb

1.15

Mar

Apr

May

Jun

USDCAD correlation to 2Yr. IRD has flagged this week versus last. The spread has widened to-5.5 basis points,
while the ten-year spread was -57.2 basis points. Risk is for continued weakness as the pair moves higher inline with policy fundamentals.
Durable goods orders data suggests manufacturing is stabilizing. Core capital goods orders rose 0.45 in May,
shipments increased 0.3% and U.S new home home sales were up 2.2% to a seven year-high. USDCAD - WTI
correlation was stronger yessterday than the previous week at (r-squared .78) but has fallen back to .61 as oil
prices stregthen ahead of inventory numbers.
Daily PIP Range
Last 30 days

Previous 252 days
32%
27%
22%
17%
12%
7%
2%

45 60 75 90 105 120 135 150 165 180

USDCAD 10-day annualised volatility has spiked to 8.52% up
from 7.23% last Thursday. Currency markets have been
dominated by euro-centric trading, economic data and oil
prices - WTI volatility is sharply higher this week at 40%
Over the last 30 trading days the average daily range was 119
pips per day, versus the previous 252 day average of 98 PIPS.
There has been 3- times as many days with 135+ pips of range
versus the previous 252 days. Volatility is expected to increase
ahead of rate normalization and 'GREXIT'


USDCAD Daily Update, June 23- 2015.pdf - page 1/3
USDCAD Daily Update, June 23- 2015.pdf - page 2/3
USDCAD Daily Update, June 23- 2015.pdf - page 3/3

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