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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
CHINA
- In the past cycle, Long CNY / Short VIX has been a popular strategy used by some macro funds, which are recalibrating their leverage according to the macro environment.
- Periods of strong 'risk-on' environment (i.e. falling volatility, or buy the dip in equities) have been associated with strong CNY gains and vice versa.
- The chart below shows the performance of CNY for different magnitude of VIX moves, looking at daily data since January 2010:
- The x axis looks at the magnitude of the VIX moves: between 0 and -5, between -5 and -10, etc.
- The y axis looks at the CNY performance (in bps).
- The more aggressive the fall in VIX, the stronger the CNY gains; on the other hand, volatility spikes have been associated with ‘strong’ CNY losses.
- Hence, CNY could be 'qualified' as a 'risk-on' currency.
- The sharp drop in price volatility has led to further strength in CNY (vs. USD) in the past day, with USDCNY breaking below strong support at 6.3570 (May 31 low).
Source: Bloomberg/MNI
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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