EURUSD - Range

GBPUSD - Range

USDJPY - Range

USDCAD - Neutral

USDCHF - Range

AUDUSD - Neutral

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As longer-term implied continued to move further below their average, the range continued to entrench itself in the EURUSD.  However, looking to the short/long implied spread, a shift over the past three sessions was obvious.  Though short-term vols are well below their long-term counterpart (as indicated by the negative spread) the steady rise cannot be ignored.  As spot moves closer and closer to next weeks ECB meeting, expectations of a post-decision run will rise and the spread will rise.  Also, the last time long-term vols have been this low in Mid-march, it preceded the strong trend from 1.2100 to 1.2950.

GBPUSD

Unlike its Euro counterpart, the British pound implieds were neither near recent historical lows nor was its spread making any significant indication that it was moving back towards the zero line.  Instead, as spot circles the 1.8500 level with little discernible direction, a steady move seems to be a ways off.  However, when the spread finally does once again cross in favor of the short-term implieds, its peak will be a closely watched event.  If the biggest positive gap the spread can muster is below the one made in late June/early July, it may be a strong indication that the volatility is being drained out of the usually volatile and trend-prone GBPUSD.

USDJPY

Last week, the spread between short and long-term vols in the USDJPY fell strongly into negative territory as daily price action was contained between 117.50 and 116.00 with few reasons for the a break either way to be considered.  However, one important point to garner from the volatility/spot relation in this pair has been the general decline in the long-terms implieds.  In fact, the read has been falling almost solidly since the low set in spot in mid-May.  This can be taken as a sign that the current three-month rally in the USDJPY could be near completely out of steam.  Furthermore, the slight increase in near-terms as the pair briefly turned higher in mid-June could be attributed to anticipated suggestions of inflationary pressure.

USDCAD

Although breaking out of the topside resistance at 1.1200 over the past few weeks, USDCAD implieds continue to signal a calmer underlying spot in upcoming days.  Technically speaking the dip in the near term measure coincide with heavy trend line resistance at the current price, keeping the pair in a continued range bound suggestion.  Short term implied continued dips lower confirm the notion as our histogram spread further declines into negative territory below the zero line.  At this point, the current spread read should be kept in mind as it approaches the lower boundary that has preceded short term jumps in the past year.

 USDCHF

Implied measures have dipped considerably to lower levels and continue to suggest a tepid market environment as we head into the tail end of the summer trading season.  Now far below the zero line, the histogram in conjunction with the near term implied measure are signifying a clear breakout potential as the range bound environment persists.  As with the Euro major counterpart, the USDCHF looks dependant on next weeks European Central Bank decision, where a likely lift in both gauges is expected with the increase in activity.

AUDUSD

Reaching extremely lowered levels, implieds have little room left to go before touching off on the lower end of our model.  Although symptomatic of the current summer doldrums, the reading could purport a turn in the underlying as it has on numerous occasions throughout the year.  At this level, a formidable break through the upper resistance at 0.7700 could force traders to enter, boosting activity and both the histogram and short term vol measure in the near term.  Until then, the pair remains bid on improving rate hike speculation and dollar fundamental volatility.