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AUD/NZD Upside, USD/JPY Calls in Focus

OPTIONS
  • Currency options markets playing catch up after a decidedly muted session on Monday given the Japanese and UK market holidays. Activity looking much more healthy so far this morning, with JPY, CNY and AUD/NZD hedges leading so far.
  • Demand for medium-dated AUD/NZD upside has defined trade in the cross so far, with late Asia-Pac seeing trades consistent with a sizeable 1.0920/1.1140 call spread rolling off end-August, thereby capturing the August RBNZ decision (currently priced at a 50% chance of a 25bps rate cut).
  • Elsewhere, USD/JPY upside protection has traded in size, with over $3 in calls trading for every $2 in puts so far Tuesday. Close to $1.3bln notional has been wagered against Y155.00 calls, but it’s calls at higher strikes that have possibly garnered more focus: just under $2bln in calls have traded between strikes at Y156.00-20, the bulk of which traded late-Asia Pac session and target an end-May expiry.
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