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Reporting on key macro data at the time of release.
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- Currency markets remain in rebound mode, with AUD, CAD among the session's best performers while EUR, CHF and JPY lag. Not the same case in vol markets, however, with front-end implied remaining well elevated and risk reversals still indicating a solid downside bias.
- 1m AUDUSD vols trade either side of 10 points, the highest level since March and have nudged implied market pricing for AUD/USD to trade below 0.70 at year-end up to 20.3% from the 14.8% probability priced by markets this time last week.
- Similarly, demand for USD/JPY downside hedges points toward still uneasy market sentiment. Around $4 in USD/JPY puts have traded for every $3 in calls for DTCC-tracked options, with Y105, Y107 and Y110 put strikes garnering particular focus. The larger trades are consistent with put spreads, eyeing a three month expiry and thereby capturing the next two policy decisions from both the Fed and the BoJ.