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Currency Volumes Sit Below Average in Pre-Fed Trade

FOREX
  • Currency futures volumes showing typical pre-Fed below-average activity, as markets tread water ahead of the FOMC: EUR futures see volumes 19% below average for this time of day, JPY 29% below, GBP 16% below.
  • A similar case for FX options as DTCC-tracked trade shows slower USD/JPY, AUD/USD markets countering slightly busier EUR/USD and USD/CHF options demand.
  • Nonetheless, front-end USD vols are well bid ahead of the Fed decision (and ECB tomorrow), with EUR/USD overnight implied touching 17.5 points for the first time since mid-March (and the Credit Suisse concerns circled) and pushing the break-even on an overnight straddle to approximately 80 pips. Similar, albeit smaller, move higher in USD/JPY vols given the removal of BoJ risk after last week's rate decision.
  • Full MNI Fed preview found here: https://roar-assets-auto.rbl.ms/files/52693/FedPre...

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