泰铢与黄金相关性聚焦

Date16 September 2025 Asia Macro Strategy Notes THB-gold correlation in focus Vaninder Singh, CFAMacro Strategist+65-6423-8947 Like we noted in ourrecent trip notes, there is a growing consensus around THB’sovervaluationvs fundamentals,which seems in large part driven by thecorrelation between THB and gold. We would contend that both market andpolicy conditions are coming together for this correlation to decline. Joey ChungStrategist+65-6423-8298 •Whilewe estimategold futures trading activityat just ~5-10% of all goldtrading(physical and financial),it is representative of overall goldsentimentin the country. •We have shownelsewherehow fear-of-missing-out (FOMO)“higher-highs” buying in futures has in the past driven THB-gold correlation toturn negative. Such FOMO-like trading behaviour may be emergingagainon the back of the recent gold rally. •Commentsby policymakers too have suggested that measures to breakthe gold correlation are imminent. Sell THB-NEER •To only express the correlation break–in particular, ahead of multiplecentral bank meetings in the coming days–the right expression, in ourview, would be to go long 1x XAU and short 2x THB to control for thedifferent vol levels.•However,we believewithpolicymakers becoming more focussed on thedisconnect between the currency and Thailand’s macro-fundamentals,we find sellingTHB NEERa better medium-term expression.•THB can be a volatile and “gappy” currency;a) making options theappropriatechoice from a risk-management perspective;and b)necessitating simple crosses. Here thehigh correlation of SGD/THB vs.THB NEER helps us. Accordingly, weareadding3-monthSGD/THB 35-deltacallwith a 25.08 strikecosting 66bpto our portfolio.(1) For clients looking to position outright, we woulduse a 24.80 entry with 25.40 as target (1.5 std dev higher) and 24.40 as stop (1std dev). (2)At the same time,we are closingour short S$NEER trade atflatPnLsincewe are no longer convincedthe MAS will beeasingpolicy further in October. Source:Deutsche Bank, CEIC, TFEX, Bloomberg Finance LP, BoT Appendix 1 Analyst Certification The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). Inaddition, the undersigned lead analyst(s) has not and will not receive any compensation for providing a specificrecommendation or view in thisreport. Joey Chung, Vaninder Singh, CFA. Important Disclosures Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced from localexchanges via Reuters, Bloomberg and other vendors . Other information is sourced from Deutsche Bank, subjectcompanies, and other sources. For further information regarding disclosures relevant to Deutsche Bank Research,please visit our global disclosure look-up page on our website athttps://research.db.com/Research/Disclosures/FICCDisclosures. Aside from within this report, important risk andconflict disclosures can also be found athttps://research.db.com/Research/Disclosures/Disclaimer. Investors arestrongly encouraged to review this information before investing. 16 September 2025Asia Macro Strategy Notes Additional Information The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively'Deutsche Bank'). Though the information herein is believed to be reliable and has been obtained from public sourcesbelieved to be reliable, Deutsche Bank makes no representation as to its accuracy or completeness. Hyperlinks tothird-party websites in this report are provided for reader convenience only. Deutsche Bank neither endorses thecontent nor is responsible for the accuracy or security controls of those websites. If you use the services of Deutsche Bank in connection with a purchase or sale of a security that is discussed in thisreport, or is included or discussed in another communication (oral or written) from a Deutsche Bank analyst, DeutscheBank may act as principal for its own account or as agent for another person. Deutsche Bank may consider this report in deciding to trade as principal. It may also engage in transactions, for itsown account or with customers, in a manner inconsistent with the views taken in this research report. Others withinDeutsche Bank, including strategists, sales staff and other analysts, may take views that are inconsistent with thosetaken in this research report. Deutsche Bank issues a variety of research products, including fundamental analysis,equity-linked analysis, quantitative analysis and trade ideas. Recommendations contained in one type ofcommunication may differ from recommendations contained in others, whether as a result of differing time horizons,methodologies, perspectives or otherwise. Deutsche Bank and/or its affiliates mayalso be holding debt or equitysecurities of the issuers it writes on. Analysts are paid in part based on the profitability of Deutsche Bank AG and itsaffiliates, which includes investment banking, trading and princ