June 04, 2024 09:17 GMT
OPTIONS: Options Keen to Capture USD/CHF Upside, Despite Weakness in Spot
OPTIONS
- USD/CHF seems to have found some intraday support at the 100-dma of 0.8932 today, pausing the three-day sell-off in the pair. Overnight options activity shows interest in upside exposure in an above-average volume session for CHF hedges. Trades consistent with 0.8930/0.9200 calendar call spread crossed in Asia-Pac hours, capturing the SNB's June rate decision, at which markets are evenly split over pricing another 25bps rate cut.
- CAD vols are seeing support, with USD/CAD overnight vols rising above 8 points as the contract captures the Wednesday Bank of Canada decision. The vol premium added implies a relatively tight ~40 pip swing in the pair into the Wednesday expiry - reflecting the extent to which a rate cut is priced in tomorrow (~80% vs. ~65% before last week's GDP data).
- Most notable expiries for today's NY cut include: E550mln at 1.0887-90 in EUR/USD, $502mln at Y155.00 in USDJPY, A$301mln at $0.6650 in AUD/USD and E643mln at 0.8500 in EUR/GBP.
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