Rates as of 0500 GMT

Market Recap

Why was CHF the bestperforming currency, followed by the commodity currencies? Usually CHF does well in riskoff periods while the commodity currencies do well in riskon periods. It should be unusual to see them moving in the same direction.

But its not. On the contrary theres a positive correlation between USDCHF and USDCAD, meaning they both tend to move up together, albeit not 100. The correlation recently has been somewhat greater than average but its still far from perfect.

Same with USDCHF and AUDUSD, although of course the correlation is going to be negative, since appreciation means the two pairs move in opposite directions.

I wondered is this just because of the movement of USD? When I ran the same exercise for CAD vs EUR, the results were the same these currencies normally move together.

However EURCHF and AUDEUR are a different story. The correlation there is normally positive, meaning that the two currencies do indeed move in opposite directions EURCHF moving up CHF weakening, AUDEUR moving up AUD strengthening. Sometimes though the relationship is negative, sometimes very negative, meaning that CHF and AUD are moving in the same direction. Thats tended to be the case this year.

So what we see is that while currencies may be divided into riskon currencies and risk off currencies, the distinction doesnt always hold every day.

As for the why in todays moveswith stock markets up and oil up 1.2, we dont need…