Free Trial

Demand for JPY Vol Hedges Buoys

OPTIONS

Given the risk-off moves seen across equities, commodities and rates this morning, no surprise to see currency hedging volumes well ahead of average for this time of day, led by JPY, EUR and CAD options activity. No surprise to see implied vol for calls across haven currencies has surged:

  • USD/JPY 3m risk reversals have slipped to their lowest levels since November last year (when lockdown concerns were again spiralling across Europe)
  • Solid demand for JPY vol hedges has been seen across European hours, with sizeable trade in 111.70/115.50 strangles a focus, with an end-January expiry eyed.
  • Mirroring the strength in EUR spot, the front-end of the EUR risk reversals curve has corrected higher, allowing the 3m contract to recover off mid-November lows of -0.7 points. Move coincides with the sharp pullback in the front-end of the US yield curve this morning, with the 2y off 13bps at typing.

To read the full story

Close

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.