Follow EUR/NOK higher, Cautious on USD/CAD, NZD/USD – Deutsche Bank

Oliver Harvey, Macro strategist at Deutsche Bank, suggests that the trendiness in G10 FX is picking up sharply with aggregate VHF at 71st percentile, the highest level witnessed over the past two months.

Key Quotes

“Aggregate realized vol on the other hand has peaked to the 90th percentile, the highest since Sept-2014. EUR/NOK is our top scoring currency pair. The cross is trending to the topside with VHF at 71st percentile. The pair is not at all stretched as per both RSI and risk reversals and has a smooth price action indicating the trend higher should be followed.”

“USD/CAD and NZD/USD are the top trending pairs (higher and lower respectively).  The pairs have a smooth price action as per realized volatility. However, they appear very stretched from RSI perspective and have a high implied volatility suggesting caution in chasing the trend. EUR/USD technicals have deteriorated substantially as the pair has lost momentum. By contrast, GBP/USD is trending to the downside but not stretched and has a smooth price action.”