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Hedging Activity Points to Two-Way Interest in NZD

NZD
  • Solid session for NZD hedging activity following the lower-than-expected NZ CPI. The release and subsequent pullback in spot has helped boost FX options volumes across both NZD/USD and AUD/NZD. Two-way hedging interest is evident, with upside favoured in NZD against USD via calls, while demand for AUD/NZD calls detail the downside NZD interest.
  • Demand for NZD/USD calls layered between 0.5900-75 is the key driver, but interest is noted at strikes as high as 0.6100, at which just over $280mln notional has traded. The trades largely expire in mid-Dec and target a strike a point higher than consensus for year-end (0.6000).
  • This contrasts with interest in AUD/NZD calls, with the most sizeable trades targeting a move north of resistance at both the September and July highs - with close to $500mln in 1.0950 strikes looking for the best levels since June in the cross. Trades capture the next RBNZ rate decision on November 29th.
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