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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.
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Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.
Free AccessPre-SNB, Fed CHF Vol Premium Doubles G10 FX Average
Overnight vols for CHF options have surged materially, with the pre-SNB risk premium showing just above 18 points today and the highest level in a year. The contract now captures both the SNB decision on Thursday, as well as today's Fed decision, dot plot and Summary of Economic Projections - justifying the vol risk premium that's double the average added across G10 FX.- An ATM overnight USD/CHF straddle now prices a 60 pip swing in the pair upon expiry - a move that would bring the 200-dma support into play in a negative reaction (0.8816) or the psychological handle resistance at 0.9000 on any positive market move in the pair.
- Market pricing for the SNB decision remains split between a hold and a first 25bps cut of the cycle - CHF OIS currently prices ~9bps of easing for the March meeting, with a 25bps cut more than fully priced for June.
- See our full SNB Preview here, in which most analysts surveyed call for no change in policy this quarter, however very few have ruled out a rate cut entirely: https://roar-assets-auto.rbl.ms/files/60395/SNBPre...
To read the full story
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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.