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Feb 22 - 10:55 AM

G10: Volatility By Day Of The Week: Bullish USD On Mondays - BofA

By eFXdata  —  Feb 22 - 09:56 AM

Bank of America global Research examines possible day-of-the-week seasonality in G10 FX, using daily USD/G10 spot prices available from 2000 to 2020.

"Computing the returns' standard deviation for each currency on each day of the week shows Mondays have the lowest volatility for most G10 currencies. For AUD and NZD, Monday is the second lowest and Friday is the lowests," BofA notes. 

"In addition, summary data for directional returns also shows G10 currencies tend to broadly depreciate against USD on Mondays, with AUD being the only exception. For the rest of the week, volatility picks up and USD tends to lose value more times against the rest of G10," BofA adds.


BofA Global Research


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