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Jan 08 - 10:55 AM

EUR/USD: Quant Models Point To Limited Upside, Worsening Risk-Reward For Existing Longs - BofA

By eFXdata  —  Jan 08 - 10:00 AM

Bank of America Global Research discusses EUR/USD outlook from a quant perspective and flags only limited further upside from current levels.

"Several quant models (event, positioning, and time zone analysis) are generally bearish USD at the start of 2021, though EURUSD signals are more mixed than for other USD pairs. After the recent rally, EURUSD MAA is now at 100% and Up/Down vol indicator suggests long positions are starting to get moderately stretched, while the Residual Skew is still favoring calls," BofA notes. 

"As we approach our year-end target forecast of 1.25, quant positioning model suggests the pace of EURUSD gains is slowing down. The volatility is now realizing higher on the way down against the uptrend, worsening the risk-reward outlook for existing long positions," BofA adds. 


BofA Global Research


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