Stats › Tradeable patterns › Month end FX

A 10% equity month predicts 14bp of FX depreciation

+1% month: 1.42bp+1.42bp+1% month+2% month: 2.84bp+2.84bp+2% month+5% month: 7.1bp+7.1bp+5% month+10% month: 14.2bp+14.2bp+10% month

Computed from Melvin and Prins' coefficient rather than measured separately, and their R squared is 0.03, so this is an expected value inside a very wide distribution. Sources: Melvin and Prins, CME Group contract specifications.

Currency hedged index funds reset their forward contracts at four o'clock London on the last business day of every month. A ten per cent equity month predicted about fourteen basis points of currency weakness into that fix. Most of it reversed by the next day.

14 bpPredicted move, 10% month
72%Reversed by next noon
2.36x normalMonth end volume at fix
1.21 bpPost-2015 EUR/USD edge

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