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Sizeable EUR/CHF Trade Positioning for Hawkish SNB Tilt

  • FX options volumes across the week have held up healthily, with Thursday trade seeing another $90bln in notional turnover via the DTCC. Activity so far Friday is following the same theme, thanks to decent demand for JPY, HKD and CHF hedges.
  • Both USD/CHF and EUR/CHF are seeing above-normal options activity following the unexpected and early resignation of the SNB President Jordan. Salient trades in USD/CHF include call strikes as high as 0.8885, and $630mln notional clustered between 0.8800 and 0.8825.
  • Conversely in EUR/CHF, the most notable trades of the session so far are consistent with a 0.9535/0.9625 put spread rolling off on March 21st - an option that expires after the SNB's next rate decision - and may be positioning for CHF strength and a hawkish surprise this month. A 25bps rate cut is already partially priced - meaning two-way risk on policy remains.
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