FX Quant Insight: Quant prep for CPI

Research evidence excerpt

FX Quant Insight: Quant prep for CPI

Accessible version

FX Quant Insight

Quant prep for CPI

Key takeaways 13 July 2026

G10 FX Strategy• Hot CPI = bearish EURUSD: Momentum, option flow & skew favors downside

Global

• Soft CPI = bearish USDJPY: Bearish reversal signal and undervaluation indicates the

pair is vulnerable to a downside trigger Marcus Boman

FX Strategist

• Consensus CPI = bearish EURNZD: Strong downside momentum and technical breaks MLI (UK)

+44 20 7996 3322

driven by RBNZ and strong NZ soft data marcus.boman@bofa.com

Bruno Braizinha, CFA

Rates Strategist

BofASFX Signal of the Week: Bearish EURNZD +1 646 743 7012

Exhibit 1: CPI prep: Hot = bearish EURUSD, soft = bearish USDJPY, consensus = bearish EURNZD bruno.braizinha@bofa.com

Top signals from quant models Paul Ciana, CMT

Technical Strategist

Section Insight Rationale BofAS

Option Flow Bearish EURUSD Option flow and skew moved against EURUSD +1 646 743 7014

paul.ciana@bofa.com

Technical Matrix Bearish USDJPY Bearish reversal signal triggered

CARS Equity factor Bullish USD, bearish JPY and SEK on equity factor. Jonathan Hartley, CMT

Time Zone Bearish EURNZD Broad-based selling since last week’s RBNZ. BofAS

EM FX Bearish INR Bullish continuation signal triggered for USDINR uptrend. +1 646 855 1236

jonathan.a.hartley@bofa.com Source: BofA Global Research

BofA GLOBAL RESEARCH See Team Page for List of Analysts

CPI: Hot = bearish EURUSD, soft = bearish USDJPY

Last week, we argued that the USD needed a new catalyst to determine if the next leg is

higher or lower (FX Quant Insight, 6 Jul ’26). This week’s US CPI may prove just such a For more details on the construction of the

trigger. Two pairs stand out as particularly vulnerable to the print: USDJPY and EURUSD.

quant signals, please refer to the FX Quant