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- CNY, CNH strength this week has put the redback at its strongest levels against the USD since mid-June, infitting with the weaker dollar theme since the Monday open.
- The move runs in contrast to poorer economic data from China this week, with both official and private PMI numbers coming in well below expectations for services & manufacturing. This put the Caixin composite PMI at 47.2, the lowest since March's pandemic-struck reading last year.
- Nonetheless, markets have been buyers of CNY calls throughout the week, buying 30% more in USD/CNY downside relative to calls (via vanilla and non-deliverable options). Sizeable interest has been noted in vol hedges around the 6.4530 strike and put strikes at 6.44 and as low as 6.40 - $1.3bln notional has been wagered against this strike since Monday according to DTCC data. Most trades at this strike eye October expiries, but Jan'21 also features.