Sebastian Galy on the EURUSD pain trade

by finansakrobat


If you're not getting updates from Societe Generale's Sebastian Galy, you should be. Contanct him on Twitter or something: @sebastiangaly (follow him anway). 

This is from his latest note: 

By analyzing tick-level data, we find that the pain trade in long EUR/USD starts at around 4am and ends at 10.30am except on Fed decision days. Economic data releases generate virtually all the moderate minute-by-minute shocks, but their impact over the following 10 to 100 minutes is a function of flows amplifying the moves either by adding positions or being sharply squeezed out. EUR/USD saw some quite pronounced downward trends as foreign investors were squeezed out of the eurozone by the ECB’s negative interest rate. There is little indication that the pain is over either, judging by the length of downward moves or previous analysis of reserve manager positioning.