SB Trade Desk: USD and SPX Down Together in June?

June is historically on the weaker side for both the U.S. Dollar and SPX.  The table below displays basic statistics for major USD crosses and SPX since 1998 (1999 for EURUSD).  For example, there have been 12 up months and 8 down months for EURUSD since 1999.  The average up month is 158 pips and the average down month is 106 pips (1.49 ratio).  The largest up month is 597 pips and the largest down month is 268 pips.

Weak June seasonal tendencies are especially interesting considering the broader USD and SPX technical positions.  DXY has been brushing against resistance from a long term parallel since November.  The index has traded slightly above but closed below the parallel 3 of the last 6 weeks (including last week).  3 distinct highs since Jan 2018 in SPX may form the upper barrier of a major broadening top.  The most recent high is on the underside of the trendline from the 2009 low…former support provides resistance.  DXY and SPX both sport divergence with weekly RSI.  Is June set up for a weak USD and SPX?  Do the ‘buy gold’ loonies get retribution?  Given the presented evidence, I don’t think that such an outcome would be a major surprise.

Finally, why not get fantastical (or is it?) and compare the current period to another time when DXY and SPX topped together.  That time is 1987.  The similarity between the current dynamic and that of 1987 begins with May 1987 and September 2018.  SPX topped and DXY bottomed at those times.  In both instances, DXY and SPX traded higher on balance (stocks barely) until topping together in August 1987 and April/May 2019.  The final rally leg in 1987 lasted 67 trading days and advanced 20.44% (daily closes used in calculation).  The rally leg from the Dec low lasted 86 trading days and advanced 25.4%.  The rate of change for the final leg in 1987 comes out to .305% / day.  The rate of change for the rally leg from the Dec low comes out to .295% / day.  The numbers indicate that the rally from the Dec low qualifies as a ‘blow-off’.  June could get interesting!

@JamieSaettele

@SBTradeDesk

Membership Discount

UP DOWN % AVG UP AVG DN RATIO MAX UP  MAX DN
EURUSD 12 8 60% 158 106 1.49 597 268
USDCHF 7 14 33.3% 188 201 0.94 387 718
GBPUSD 13 8 61.9% 292 313 0.93 753 1173
USDJPY 10 11 47.6% 170 197 0.86 429 728
AUDUSD 14 7 66.7% 170 132 1.29 531 419
NZDUSD 13 8 61.9% 176 174 1.01 489 324
USDCAD 8 13 38.1% 188 154 1.22 602 414
SPX 11 9 55% 23 45 0.51 71 120

DXY Weekly

SPX Weekly

SPX (black) and DXY (magenta) Daily 

June equity curves for USD crosses and SPX

EURUSD

USDCHF

GBPUSD

USDJPY

AUDUSD

NZDUSD

USDCAD

SPX (cash)