2. USD
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Wednesday, February 22, 2012
16:00 GMTDominant Events for American Dollar
Yellow Area
Feb 15
09:00 - 15:00
PBOC to Participate
in ESM and EFSF
German FM Doubts
Greece will meet all
the Bailout
Conditions
US TIC Long-Term
Purchases
Green Area
Feb 16
12:00 - 19:00
US PPI
US Unemployment
Claims
US Fed Chairman
Bernanke Speech
US Philly Fed
manufacturing Index
Blue Area
Feb 19
21:00 - 24:00
Japan Trade Balance
PBOC Cut Banks’
Reserve Ratio
Japan and China to
Support Eurozone
through IMF
Pink Area
Feb 20
08:00 - 12:00
Eurogroup Approved
2nd Financing
Package for Greece
3. After appreciating by 0.6% until Feb 16 noon, the US
Dollar’s value dropped to its initial level. The following
days its currency index was largely hovering between
the values of 99.5 and 100, indicating strong resilience
of the currency to the world news and events.
The American Dollar closed Feb 15 with mild gains, even
though it sunk by 0.4% in the morning due to intention
of the PBOC to support Europe in dealing with the debt
crisis. Later in the day doubts of the financial world
whether Greece will manage to adhere to the
prerequisites of the second bailout weighed on the
single currency, allowing the Greenback to appreciate at
its expense.
News on Feb 16 for the most part concerned the US
Dollar. At first the Buck maintained its previous upward
trend, while upbeat economic conditions restored risk-
on sentiment in the market and negated prior gains of
the Dollar.
Late Sunday the markets were bearish for the safe
haven currencies, including USD and JPY, as both Japan
and China agreed to aid Eurozone via IMF. However, the
US Dollar lost only 0.25%, while both DBVI and EUR/USD
volatility index soared beyond 2.0.
The next day the market was rather tranquil, as both
indices have hardly rallied above 1.0. Nonetheless, EUR
and CHF extended gains, while USD has sharply fallen
within a period from 08:00 to 12:00 GMT.
Currency Index & Volatility
Dukascopy Bank SA, Route de Pre-Bois 20, International Center Cointrin, Entrance H, 1215 Geneva 15, Switzerland tel: +41 (0) 22 799 4888, fax: +41 (0) 22 799 4880 research@dukascopy.com
Wednesday, February 22, 2012
16:00 GMT
USD
Depreciation
Base
AppreciationTranquil
Normal
Turbulent
Portion of observations above 1:
DBVI - 41%
EUR/USD - 36%
4. The overall downward trend of the average
correlation coefficient suggests diminishing
importance of the American Dollar in FX
market. On Feb 15 the coefficient was 0.6,
while at the end of Feb 21 it was only 0.25.
Due to a strong correlation between EUR
and CHF, correlation USD/EUR & USD/CHF
gravitated to maximum possible value of
1.0.
Correlations USD/EUR & USD/GBP and USD/
GBP & USD/CHF clustered and remained
above 0.5, being stable throughout the
week.
The third group of correlations, which was
responsible for the decline of the average
coefficient, consisted out of USD/JPY & USD/
EUR, USD/JPY & USD/GBP and USD/JPY &
USD/CHF. Together they tumbled from 0.4
to -0.4 during the last five trading days.
The only major deviation from observation
in 2011 is correlation USD/EUR & USD/CHF.
Currently it is considerable stronger than a
year before, as EUR/CHF is currently in close
vicinity of 1.20, which is guarded by the SNB.
Dukascopy Bank SA, Route de Pre-Bois 20, International Center Cointrin, Entrance H, 1215 Geneva 15, Switzerland tel: +41 (0) 22 799 4888, fax: +41 (0) 22 799 4880 research@dukascopy.com
Wednesday, February 22, 2012
16:00 GMT
USD Correlations
5. Dukascopy Bank SA, Route de Pre-Bois 20, International Center Cointrin, Entrance H, 1215 Geneva 15, Switzerland tel: +41 (0) 22 799 4888, fax: +41 (0) 22 799 4880 research@dukascopy.com
Wednesday, February 22, 2012
16:00 GMT
Confidence Intervals for the Next 24 Hours
6. Dukascopy Bank SA, Route de Pre-Bois 20, International Center Cointrin, Entrance H, 1215 Geneva 15, Switzerland tel: +41 (0) 22 799 4888, fax: +41 (0) 22 799 4880 research@dukascopy.com
Wednesday, February 22, 2012
16:00 GMT
Dukascopy Bank Volatility Index reflects the variability of the Forex market based on the five currency pairs: EUR/USD, EUR/JPY, GBP/USD, USD/JPY and USD/CHF.
A value of 1 indicates normal volatility, while data above or below 1 signifies turbulence or tranquility, respectively.
Dukascopy Bank Volatility Index
Tranquil
Normal
Turbulent
7. Disclaimer
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the accuracy of any data contained in this article. Financial figures indicated in this article have not been verified by the
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