Michael Bommarito

Overbought/Oversold Currency ETFs

Not sure if you saw my post (and another's) on the commodity thread, but how are these determined to be under/over/par? Depending on what time scale you look at these currencies, I can see arguments for both under- and overvalued (e.g. cumulative difference between USDJPY and FXY returns over past 5 days or past 60?) Most of the worthwhile arbitrage on these currency ETFs has been due to the same expectations as FX but drastically different liquidities (i.e. rate expectation moves illiquid ETF twice as much as actual exchange rate) in my experience.