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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
OPTIONS
- In typical pre-CPI trade, front-end FX vols are well bid, with G10 overnights cresting close to YTD highs and reinforcing the perceived importance of the US inflation print later today.
- AUD, NZD are isolated in posting the most notable vol premium this month, underlining their risk proxy status, sensitivity to the Fed policy cycle and the importance of recent positioning cycles - which have seen NZD shorts account for over 20% of open interest, contrasting with a sharp positive momentum shift in the AUD net position since the nadir in mid-March.
- AUD/USD overnight vols neared 20 points this morning, the highest in just under a year, blowing out the break-even on an ATM straddle to near 60 pips - well over double the swing implied by average background vol so far in 2024.
- Across EM currencies, MXN and ZAR vols are posting the most sizeable two-day vol premiums (8.4 and 8.0 vol points respectively) ahead of the CPI print, potentially suggesting greater sensitivity in these currencies into the Thursday NY cut. Interestingly, both currencies also exhibit notable political risk premia, with both Mexico and South Africa holding Presidential election polls toward the end of the month.
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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