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Despite relative calm returning to..........>

OPTIONS: Despite relative calm returning to USD/CNY spot markets today, there's
been a huge move in USD/CNY 1m risk reversals. The spike today amounts to just
shy of 1 vol point, putting the contract close to the highest levels in favour
of CNY puts seen since October last year. Risk reversals have edged higher since
the beginning of the week as Trump turned up the temperature on the US-China
trade spat, but today's move has been, by far, the biggest.
-Move in risk reversals coincides with marked uptick in implied vols, with 1m
vols now printing above 5.5 points, the highest since mid-December last year.
-USD/CNY options volumes are running around 50% ahead of average and, for a
second consecutive session, there's been particular interest in Cny7.00 call
strikes but Cny6.85 has also been popular.
-Contrary to the move in risk reversals markets, the larger trades in USD/CNY
options today include a $500mln 6.72/6.80 put spread (expiring 30th May) and two
large vanilla put options expiring at Cny6.72 and Cny6.75 (rolling off between
20th and 22nd of May).
MNI London Bureau | +44 203-865-3809 |
MNI London Bureau | +44 203-865-3809 |

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