FX STRATEGY | FX QUANT DAILY - Summary
Core Content
This document provides a summary of the BNP Paribas STEER™ model's current trading signals and insights for various currency pairs across different regions, including G10, CEEMEA, Latin America, and Asia. It also includes details about the model's performance, key drivers of market movements, and contact information for the FX strategy team.
Key Trading Signals
| Entry Date |
Position |
Entry Rate |
Target |
Stop Loss |
Close Rate |
Return (%) |
| 06-Nov-17 |
SHORT USDCAD |
1.2769 |
1.2645 |
1.2864 |
- |
-0.21 |
| 10-Nov-17 |
SHORT EURSEK |
9.7497 |
- |
- |
9.7985 (14-Nov-17) |
-0.50 |
| 15-Nov-17 |
SHORT USDRUB |
60.2901 |
- |
- |
59.7262 (16-Nov-17) |
0.94 |
| 16-Nov-17 |
LONG USDKRW |
1101.55 |
- |
- |
1097.90 (17-Nov-17) |
-0.33 |
Notes on Current Market Conditions
- USDCAD: The pair remains in a short position, targeting 1.2645. The fair value has fallen moderately due to declining US 10y yields, suggesting the recent rise may be overdone and a decline back to STEER is expected.
- EURUSD: Traders continue to operate within the STEER's z-score corridor, but the pair is beginning to appear undervalued against its STEER of 1.1878. The fair value has increased over the past week due to the decline in US 10y yields.
- EURSEK and EURNOK: Both are overvalued, with EURSEK at 2.54 z-scores and EURNOK at 3.49 z-scores. They may have potential for decline, though no short signals are currently active.
- USDKRW: Previously undervalued, it has now returned to within the STEER's z-score corridor.
G10 Currency Summary
| Currency |
STEER |
Spot |
z-score |
Upper Bound |
Lower Bound |
| AUDUSD |
0.7677 |
0.7560 |
-1.02(-1.51%) |
0.7845 |
0.7509 |
| EURUSD |
1.1878 |
1.1740 |
-0.94(-1.20%) |
1.2101 |
1.1656 |
| EURGBP |
0.8993 |
0.8880 |
-0.66(-1.26%) |
0.9247 |
0.8739 |
| NZDUSD |
0.6859 |
0.6820 |
-0.36(-0.60%) |
0.7028 |
0.6690 |
| EURCHF |
1.1650 |
1.1610 |
-0.26(-0.30%) |
1.1855 |
1.1444 |
| GBPUSD |
1.3208 |
1.3220 |
0.05(0.06%) |
1.3419 |
1.2998 |
| USDJPY |
111.96 |
112.00 |
0.05(0.06%) |
114.0708 |
109.8447 |
| USDCAD |
1.2645 |
1.2790 |
1.19(1.11%) |
1.2822 |
1.2467 |
| EURSEK |
9.7483 |
9.9110 |
2.54(1.64%) |
9.8445 |
9.6522 |
| EURNOK |
9.3549 |
9.6910 |
3.49(3.47%) |
9.4992 |
9.2107 |
CEEMEA Currency Summary
| Currency |
STEER |
Spot |
z-score |
Upper Bound |
Lower Bound |
| EURCZK |
25.6816 |
25.5570 |
-1.43(-0.49%) |
25.8118 |
25.5513 |
| EURPLN |
4.2639 |
4.2380 |
-0.88(-0.62%) |
4.3090 |
4.2188 |
| USDZAR |
14.1052 |
14.0400 |
-0.35(-0.47%) |
14.3843 |
13.8261 |
| USDILS |
3.5249 |
3.5240 |
-0.04(-0.03%) |
3.5610 |
3.4889 |
| USDRUB |
59.0008 |
59.2480 |
0.43(0.42%) |
59.8598 |
58.1417 |
| USDTRY |
3.8565 |
3.8800 |
0.56(0.60%) |
3.9195 |
3.7935 |
| EURHUF |
310.71 |
312.00 |
0.91(0.40%) |
312.7740 |
308.6524 |
| EURRON |
4.6276 |
4.6400 |
1.09(0.26%) |
4.6443 |
4.6108 |
Latin America Currency Summary
| Currency |
STEER |
Spot |
z-score |
Upper Bound |
Lower Bound |
| USDMXN |
19.2240 |
18.9440 |
-1.95(-1.48%) |
19.4391 |
19.0090 |
| USDCLP |
630.28 |
626.80 |
-0.72(-0.55%) |
637.4390 |
623.1229 |
| USDPEN |
3.2445 |
3.2410 |
-0.39(-0.10%) |
3.2567 |
3.2324 |
| USDCOP |
2998 |
3004 |
0.25(0.21%) |
3034.8856 |
2961.0566 |
| USDBRL |
3.2343 |
3.2590 |
0.73(0.76%) |
3.2857 |
3.1830 |
Asia Currency Summary
| Currency |
STEER |
Spot |
z-score |
Upper Bound |
Lower Bound |
| USDMYR |
4.2282 |
4.1580 |
-3.46(-1.68%) |
4.2586 |
4.1978 |
| USDTWD |
30.2362 |
30.0930 |
-1.56(-0.48%) |
30.3742 |
30.0983 |
| USDKRW |
1110 |
1101 |
-1.33(-0.90%) |
1121.6029 |
1099.3049 |
| USDPHP |
51.3362 |
50.9600 |
-0.92(-0.74%) |
51.9468 |
50.7256 |
| USDTHB |
32.9823 |
32.7950 |
-0.90(-0.57%) |
33.2932 |
32.6713 |
| USDINR |
65.1306 |
65.0700 |
-0.32(-0.09%) |
65.4149 |
64.8462 |
| USDIDR |
13549 |
13560 |
0.14(0.08%) |
13662.5554 |
13436.2954 |
| USDSGD |
1.3536 |
1.3570 |
0.36(0.25%) |
1.3679 |
1.3393 |
Key Drivers of Market Moves
- USDCAD: Declining US 10y yields have caused the fair value to fall, leading to overbought conditions.
- EURUSD: Steady within the z-score corridor, but showing signs of undervaluation.
- EURSEK and EURNOK: Overvalued by 2.5 and 3.5 z-scores, respectively, with potential for correction.
- USDKRW: Previously undervalued, now back in line with STEER.
- USDRUB: Shows a slight overvaluation, but with a positive return.
- USDTRY: Slightly overvalued, but not excessively so.
- EURHUF and EURRON: Both show slight overvaluation, but not extreme.
FX Strategy Contacts
Global FX Strategy Team
Emerging Markets FX & IR Strategy Team
Production and Distribution
- Produced by: Barbara Consuelo, Amanda Grantham-Hill, Anna McLauchlin, and Varghese Joseph.
- Distribution: The document is intended for professional clients and eligible counterparties and may not be distributed to others without prior written consent.
Legal Notice
- This document is non-independent research and may be subject to conflicts of interest.
- It does not constitute an offer to sell or issue securities, nor a solicitation of an offer to buy.
- No liability is accepted for any losses arising from reliance on the information.
- Information is for informational purposes only and not intended as investment advice.
- BNP Paribas may engage in transactions inconsistent with the views expressed.
- The document may include simulated performance data and is not a prospectus or public offering.
United States Disclosures
- Options and ETFs discussed are complex and carry high risk.
- BNP Paribas may have potential conflicts of interest related to these products.
- Information is available only to those who have received proper risk disclosure documents.
- For more information, contact your BNP Paribas sales representative or visit the OCC website.
