MNI: PBOC Sets Yuan Parity Higher At 7.1870 Mon; -1.39% Y/Y

MNI: China CFETS Yuan Index Down 0.36% In Week of Dec 6

MNI: PBOC Net Injects CNY13.8 Bln via OMO Monday

MNI BRIEF: PBOC Increases Gold Reserves

CORRECTED-MNI: Fed's Hammack-Near Or At Time To Slow Rate Cuts

MNI BRIEF: Fed's Goolsbee Sees Rates Fair Bit Lower In A Year

MNI JAPAN Q3 GDP REV +0.3% Q/Q; PRELIM +0.2%; MEDIAN +0.2%

MNI: UNIV OF MICHIGAN CONSUMER SENTIMENT PRELIMINARY DEC INDEX 74.0

CANADA NOV IVEY PURCHASING MANAGERS INDEX 52.3 SA

MNI EXCLUSIVE: EU-Mercosur Deal Close, But Likely Short-Lived - Officials

AUSTRALIA: 2025 Election Outcome Looking More Uncertain According To Newspoll

© 1982-2024 MNI. All rights reserved.
Terms | Privacy
Log Out
Free Trial

JPY Rally Prompts Surge in Demand For FX Hedges

OPTIONS
  • Today's run higher in the JPY has clearly helped stimulate demand for FX hedges, as USD/JPY options notional approaches double the average for this time of day. Over $13bln in USD/JPY options have crossed the DTCC, which notably have seen call options in greater demand relative to puts, with a put/call ratio 0.75 so far Thursday.
  • JPY implied vols are suitably bid given the breakout in spot, as 6m JPY implied tops 9.3 points to correct to the highest levels since early November, recovering off cycle and YTD lows posted mid-last month.
  • The most salient trades crossing during the pull lower in USD/JPY include trades consistent with a large 142/144 put spread, expiring on Dec 22 and thereby capturing both the Fed decision next week as well as the Dec 19 BoJ. The position profits from a move below ~143.45 in spot, levels last seen in early August.
  • EUR/JPY vols are seeing similar support. Last week we wrote that the downtick in implied has cheapened positioning for Vol through H1'24, capturing not only the first fully priced ECB rate cut (April'24) but also the April BoJ decision, at which the Bank are seen having obtained sufficient data on wage increases that could trigger an exit of NIRP.
Homepagemarkets-real-timeBulletMarketsFixed Income BulletsForeign Exchange Bullets

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.