TRUDEAU SAYS IT LOOKS LIKE BOC WILL BE LOWERING RATE AGAIN

MNI BRIEF: Canada Commits To Just One Of Three Fiscal Anchors

MNI BRIEF: Brazil Not Even Close To Fiscal Dominance - David

CORRECTED-MNI BRIEF: Brazil Inflation Rises To 4.87% In Nov

MNI China Daily Summary: Tuesday, December 10

MNI: USDA: 2024/2025 CORN PRODUCTION EST 15.14B BSL

EZ/UK T-Bill Calendar: 12-Month BOT Auction on Wednesday

EZ/UK Bond Supply Calendar: 4.25% Jul-34 Gilt Due Wednesday

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

OPTIONS: Election Impact Clear to See as USD/MXN Vols Surge to Record Levels

OPTIONS
BulletMarketsForeign Exchange Bullets
  • Overnight FX options contracts now capture the immediate outcome of the election, and the impact is clear to see - USD vols are well bid, with the currencies seen as most exposed printing a considerable risk premia.
  • As a result, USD/MXN overnight implied has cleared 100 points - that's an all-time high for the contract (other notable prints: 95 points mid-COVID, 96 points on Trump's '16 election and ~100 points in the '08 GFC). This implies a ~4% swing in USD/MXN on the results, and an implied range of approximately 19.35 - 21.05.
  • It's not just USD vols that are being marked higher - haven currency vols including CHF and JPY are bid, meaning hedging markets are capturing potential fallout outside of the greenback. EUR/CHF and GBP/JPY overnight vols have added 6 points and 10 points respectively.
135 words

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.
  • Overnight FX options contracts now capture the immediate outcome of the election, and the impact is clear to see - USD vols are well bid, with the currencies seen as most exposed printing a considerable risk premia.
  • As a result, USD/MXN overnight implied has cleared 100 points - that's an all-time high for the contract (other notable prints: 95 points mid-COVID, 96 points on Trump's '16 election and ~100 points in the '08 GFC). This implies a ~4% swing in USD/MXN on the results, and an implied range of approximately 19.35 - 21.05.
  • It's not just USD vols that are being marked higher - haven currency vols including CHF and JPY are bid, meaning hedging markets are capturing potential fallout outside of the greenback. EUR/CHF and GBP/JPY overnight vols have added 6 points and 10 points respectively.