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Less Dovish RBNZ Buoys Demand for NZD Calls

OPTIONS

Despite the partial closes across the US, currency options market activity is still holding up well, albeit slightly below average for this time of day. The activity's been underpinned by USD/CNY, NZD/USD and EUR/GBP options, all of which are seeing volumes well above average.


  • The less-dovish-than-expected RBNZ rate decision overnight has clearly driven the interest in upside protection today, with over $3 in calls trading for every $1 in puts so far. 0.6780, 0.6950 and 0.7050 call strikes have drawn the most interest, with markets clearly cognizant of the risks of new multi-year highs in NZD/USD.
  • EUR/GBP options volumes picked up following earlier Brexit headlines. Sizeable interest in 0.89 calls followed the report, with expiries capturing the rolling-off of various Brexit deadlines (namely Nov 17th and Dec 1st). Volatility hedges also a source of interest, with trades consistent with a one-week 0.8825/0.8875 strangle crossing mid-London hours.
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