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OPTIONS: GBP, AUD, JPY Look Most Sensitive to Post-NFP Swings

OPTIONS
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  • Overnight G10 FX vols underwent the usual pre-NFP bid - and heightened intraday swings in GBP this week have exposed the currency ahead of the jobs data. The vol premium baked into GBP/USD is among the highest in G10 this week, although JPY and AUD vols aren't far off.
  • We wrote yesterday that juiced GBP put vols have pressed 3m risk reversals to levels last seen in mid-August. This puts GBP/USD well below year-end sell-side consensus of 1.3200, and raises the implied probability of the pair below September lows of 1.3002 to ~40% at year-end, and below August lows of 1.2665 to ~20% (from 19% and 7% this time last week).
  • Further weakness and a break below the 50-dma today would expose key support at the uptrendline drawn off the '22 low of 1.0350 - today crossing at 1.2866. Any hawkish repricing for November Fed pricing could bring these levels into sharper focus.
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  • Overnight G10 FX vols underwent the usual pre-NFP bid - and heightened intraday swings in GBP this week have exposed the currency ahead of the jobs data. The vol premium baked into GBP/USD is among the highest in G10 this week, although JPY and AUD vols aren't far off.
  • We wrote yesterday that juiced GBP put vols have pressed 3m risk reversals to levels last seen in mid-August. This puts GBP/USD well below year-end sell-side consensus of 1.3200, and raises the implied probability of the pair below September lows of 1.3002 to ~40% at year-end, and below August lows of 1.2665 to ~20% (from 19% and 7% this time last week).
  • Further weakness and a break below the 50-dma today would expose key support at the uptrendline drawn off the '22 low of 1.0350 - today crossing at 1.2866. Any hawkish repricing for November Fed pricing could bring these levels into sharper focus.