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CAD, EUR Vol Premiums Build Into Respective Rate Decisions

OPTIONS
  • Ahead of the busier second half of the week, front-end USD vols are higher - with CAD and EUR vols adding the most notable premium ahead of the BoC and ECB rate decisions. Overnight CAD vols have cleared 8 points (close to double the YTD average), meaning an overnight ATM straddle implies a ~45 pip swing in USD/CAD across the BoC decision – while Powell’s semi-annual testimony could be adding to underlying vols.
  • Markets may be wary of heavy expiry slate for EUR/USD in particular today - very clustered between 1.0840-75 today - ~€6.7bln set to roll-off between those strikes and could help define spot range across Powell, ADP Employment change later today.
  • In terms of DTCC-tracked options trade, it's generally quiet outside of JPY markets although a little more interest in usually quieter HKD and NZD trade so far Wednesday.
Full expiry slate here:
  • EUR/USD: $1.0760(E1.2bln), $1.0800(E1.8bln), $1.0840-50(E2.6bln), $1.0865-75(E4.1bln), $1.0950(E1.8bln)
  • USD/JPY: Y149.50($524mln), Y149.80($907mln), Y150.00($684mln), Y150.20-25($800mln), Y151.10($1.1bln)
  • AUD/USD: $0.6500-05(A$687mln)
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  • Ahead of the busier second half of the week, front-end USD vols are higher - with CAD and EUR vols adding the most notable premium ahead of the BoC and ECB rate decisions. Overnight CAD vols have cleared 8 points (close to double the YTD average), meaning an overnight ATM straddle implies a ~45 pip swing in USD/CAD across the BoC decision – while Powell’s semi-annual testimony could be adding to underlying vols.
  • Markets may be wary of heavy expiry slate for EUR/USD in particular today - very clustered between 1.0840-75 today - ~€6.7bln set to roll-off between those strikes and could help define spot range across Powell, ADP Employment change later today.
  • In terms of DTCC-tracked options trade, it's generally quiet outside of JPY markets although a little more interest in usually quieter HKD and NZD trade so far Wednesday.
Full expiry slate here:
  • EUR/USD: $1.0760(E1.2bln), $1.0800(E1.8bln), $1.0840-50(E2.6bln), $1.0865-75(E4.1bln), $1.0950(E1.8bln)
  • USD/JPY: Y149.50($524mln), Y149.80($907mln), Y150.00($684mln), Y150.20-25($800mln), Y151.10($1.1bln)
  • AUD/USD: $0.6500-05(A$687mln)