Macro Nugget: Signs of USD weakness to come?
The rate of change in carry has turned?

If we look at carry returns in FX since Fed started QT and suppose that the USD mostly has been used as the long leg then on a rate of change basis, here using a 1qtr rolling percentile, has had quite the drop to begin 2025. Readings above the 80th percentile suggest larger concentrations in carry, which provoked the massive sell off in August on the back of the NFP print. Two things to note: Any weak US macro prints shouldn’t be met with the same volatility spike due to concentrated positions and traders don’t seem to be fearing the USD effects of potential Trump tariffs.
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