Exclusive interviews with leading policymakers that convey the true policy message that impacts markets.
Reporting on key macro data at the time of release.
- Emerging MarketsEmerging Markets
Real-time insight of emerging markets in CEMEA, Asia and LatAm region
- MNI ResearchMNI Research
Actionable insight on monetary policy, balance sheet and inflation with focus on global issuance. Analysis on key political risk impacting the global markets.
- About Us
Real-time Actionable Insight
Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.Free Access
Sign up now for free access to this content.
Please enter your details below and select your areas of interest.
- 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).