More signs of AUD momentum divergence. Despite the strong commodity price back drop the odds of consolidation are high.
The sharp narrowing in US-CAD interest rate spreads should stabilize in the near term and expect a period of sideways consolidation. Another rate hike in the Fall is already in the prices and given that the appreciation of the CAD is equivalent to in excess of 300bp of further tightening the BoC may start to send messages that following another rate hike they will go back to being data dependent.
Short term dispersion readings are rolling over; however as a note of caution the LT measures have not yet done so and suggests we are not yet at the spot turning point but awfully close.
Some signs of momentum exhaustion on the downside.
CADYEN also showing signs of top side exhaustion. With ST readings low and LT rolling over a sharp move back into the range would seem likely (lower CADJPY), followed by consolidation. The short term CAD rally looks over extended.
Short term CHF actual vols rise sharply as a derivative of move in EURCHF.
EURCHF actual rise sharply on the carry led unwind of CHF vs EUR. We pointed out here last week the potential signal with the break in the two-week actuals over the six weeks. Not always, but often it can be a leading indicator. The SNB has openly complained about the CHF strength and the OECD calculates that the CHF is 23% overvalued.