Peso holds firm at June close: attractive carry and low VIX underpin 54/100 CONSTRUCTIVE read

Good morning!

The Day's Signal: semester close with intact risk appetite but no aggressive conviction

Today is June 30th, the last trading day of the first half of 2026. Markets are closing the period on a constructive note but without euphoria. The S&P 500 at 7,440 (+1.18%) marks new all-time highs, but nearly flat ES futures (-0.02%) in premarket suggest yesterday's momentum was more rebalancing-driven than fresh directional conviction. VIX at 17.72 and MOVE at 68.14 are healthy readings: implied volatility contained in both equities and fixed income. There are no systemic stress signals. Gold at 4,032 (+0.24%) maintains its store-of-value role without acting as a panic hedge. Bitcoin at 58,570 (-2.61%) is the only discordant note — its isolated decline points to liquidity leaving higher-beta speculative assets, but with no visible contagion to the rest of the market.

The Peso and Carry: 17.48 is a comfortable level for MXN

USD/MXN at 17.4806 trades within a well-defined technical range: support at 17.1669 and resistance at 17.6732. The 0.14% decline in the session is modest but consistent with a peso that has tailwinds from the rate differential. With Banxico at 6.50% and the Fed at 3.63%, the 2.87pp carry remains a valid argument for peso-funded positions, especially with USD/MXN realized vol at 7.78% — low by historical standards for the pair. EUR/MXN at 19.9235 completes the picture: the peso is gaining ground not just against the dollar but also against the euro, which speaks to MXN's relative strength rather than simply DXY weakness (101.38). My market view: in this context of positive carry differential, contained VIX, and a positively sloped curve, the bias favors MXN staying appreciated within the lower half of its technical band. The key risk is a strong NFP print on Friday that strengthens the dollar globally.

UST Rates and Curve: normalization continues, but the long end is pressing

The UST curve shows a positive slope (2s10s at +31bps), signaling that the market is calmly digesting the Fed's easing cycle. The short end (1M: 3.70%, 3M: 3.83%) has already priced in much of the dovish adjustment, while the 10Y at 4.39% (+0.41% on the session, mild upward pressure) and the 30Y at 4.87% reflect a term premium that isn't going away. This moderate steepening is bear steepening at the long end: supportive for EM carry in the near term, but a reminder that long U.S. debt remains a latent risk if inflation surprises or if fiscal deficits remain the elephant in the room. TIIE28 at 6.76% keeps the spread over Banxico's policy rate at 26bps, signaling that the local market still prices in room for additional cuts.

The Road Ahead: NFP on Friday, Mexico CPI on July 9th

The two high-impact events that will define the tone of the pair over the next few days are clear. The July 3rd NFP is the most immediate catalyst: a print above expectations (~185-200k) could reopen the debate on whether the Fed moved too dovishly, push the DXY higher, and compress the carry differential that today favors MXN. A weak print, on the other hand, would consolidate the soft landing narrative and keep appetite for EM carry alive. Then, Mexico's CPI on July 9th will be key to calibrate whether Banxico has room to continue its cutting cycle without putting too much pressure on the peso. With the Risk On Score at 54/100 — CONSTRUCTIVE — the market sits in moderate risk-appetite territory: no euphoria that would justify ignoring tail risks, and no panic forcing position unwinds. It's precisely the type of environment where carry earns its keep, but where event-risk management (NFP, CPI) is the difference between a good and a bad July.

— See you tomorrow for Wednesday's view.