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CAD Lower on Lower Oil Prices as Riskon Mood Reversess

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Note  The table above is updated before publication with the latest consensus forecasts. However, the text charts are prepared ahead of time. Therefore there can be discrepancies between the forecasts given in the table above and in the text charts. 

Rates as of 0500 GMT

Market Recap

Ive rarely seen such narrow movements in currencies in a day. We must be getting toward the endofyear shutdown period. A lot of hedge funds for example have already closed their books for the year. Other traders are thinking  what if I make a mistake? I could blow my bonus for the year with one wrong trade and no time left to make it up.

Actually though the end of the year isnt usually that calm. True, there are fewer market participants and fewer people taking big speculative positions, so what that means is that if there is any big news or a big order, the market is less liquid and therefore prices move more. 

I deduced this from looking at the seasonal pattern of the Deutsche Bank CVIX index, which is the currency version of the VIX index it measures the implied volatility of currency options and is therefore a measure of the markets expectation of future currency volatility. Of course future volatility isnt the same as current volatility, but its a good proxy.

I ranked the volatility for each week from most volatile 100 to least volatile 0 of the year. I then took the average for 20102019. If volatility were distributed randomly, over time each week should have an average…

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