11 Jan 2016
Asia FX positioning indices - Nomura
FXStreet (Delhi) – Research Team at Nomura, suggests that in an effort to gauge FX positioning for KRW, TWD, INR and IDR they have created indices based on option risk reversals, offshore-onshore implied yield spreads and net foreign equity flow data.
Key Quotes
“Korea: The USD/KRW daily positioning signal has been neutral since 23 December 2015. Of the past 126 trading days, the signal was short for 5 sessions and long for 56.
Taiwan: The USD/TWD daily positioning signal has been long since 4 January 2015. Of the past 126 trading days, the signal was short for 17 sessions and long for 55.
India: The USD/INR daily positioning has been short since 18 December 2015. Of the past 126 trading days, the signal was short for 39 sessions and long for 41.
Indonesia: The USD/IDR daily positioning signal has been neutral since 31 December 2015. Of the past 126 trading days, the signal was short for 20 sessions and long for 40.
Overall, our USD/Asia FX positioning z-score has fallen to 0.29 standard deviations from recent peak of 0.67sd (17 December), and still well below the high of 1.27sd in September 2015.”
Key Quotes
“Korea: The USD/KRW daily positioning signal has been neutral since 23 December 2015. Of the past 126 trading days, the signal was short for 5 sessions and long for 56.
Taiwan: The USD/TWD daily positioning signal has been long since 4 January 2015. Of the past 126 trading days, the signal was short for 17 sessions and long for 55.
India: The USD/INR daily positioning has been short since 18 December 2015. Of the past 126 trading days, the signal was short for 39 sessions and long for 41.
Indonesia: The USD/IDR daily positioning signal has been neutral since 31 December 2015. Of the past 126 trading days, the signal was short for 20 sessions and long for 40.
Overall, our USD/Asia FX positioning z-score has fallen to 0.29 standard deviations from recent peak of 0.67sd (17 December), and still well below the high of 1.27sd in September 2015.”