This week overall currency market is not moving much, especially against dollar. Pound volatility has remained extremely low, both implied and realized.
- 5 day average of realized volatility for Pound-Dollar has been declining steadily from 140 pips in mid-July to just 87 pips as today.
- Though Yen usually trades in low volatility, it has declined sharply from mid-July. 5 day average of realized volatility has declined from 136 points to just 60 points.
- 5 day average of realized volatility for Euro stands at 102 pips. Euro has shown much higher volatility in recent times.
What id market awaiting for?
- After US Federal Reserve hinted at its July meeting that it stands ready to hike rates but awaiting "some further" improvement in the labor market. (Since inflation remains medium tern target).
- Last week, the reaction to employment cost index, when Euro jumped back and forth almost 180 points, made it clear what is the focus.
Focus is on NFP report from US, scheduled for release this Friday, 7th August 2015. Market will be closely monitoring whether US economy able to deliver "some further improvement" in the labor market.
We expect heavy volatility on Friday.


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