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Still Tied To The USD, FX Reserves Print Tomorrow

CNH

USD/CNH got close to 7.0100 late yesterday, before rebounding to +7.0900 in US trading. We have settled back to 7.0700 now, still following broad USD sentiment. The pair is also back above the 20 day MA, which comes in at 7.0598 today.

  • The 1 month risk reversal continues to trend down, last just above +1.20, versus late September highs of +1.40. 1 month implied vol is more elevated, in a relative sense, last at 8.75%. This is only down modestly from recent highs above 9%.
  • Gyrations in the majors, particularly in EUR, GBP etc through this week, has likely driven some spill over into the CNH vol space.
  • China onshore markets remain closed until next Monday, but note September FX reserves print tomorrow. The market expects a dip to $2997.5bn, versus $3054.8bn previously. Recall this morning's South Korean FX reserves print showed the largest monthly drop since 2008.
  • while on Saturday the Caixin services and composite PMI readings are due. Next week September aggregate credit/new loans data should also be out.
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USD/CNH got close to 7.0100 late yesterday, before rebounding to +7.0900 in US trading. We have settled back to 7.0700 now, still following broad USD sentiment. The pair is also back above the 20 day MA, which comes in at 7.0598 today.

  • The 1 month risk reversal continues to trend down, last just above +1.20, versus late September highs of +1.40. 1 month implied vol is more elevated, in a relative sense, last at 8.75%. This is only down modestly from recent highs above 9%.
  • Gyrations in the majors, particularly in EUR, GBP etc through this week, has likely driven some spill over into the CNH vol space.
  • China onshore markets remain closed until next Monday, but note September FX reserves print tomorrow. The market expects a dip to $2997.5bn, versus $3054.8bn previously. Recall this morning's South Korean FX reserves print showed the largest monthly drop since 2008.
  • while on Saturday the Caixin services and composite PMI readings are due. Next week September aggregate credit/new loans data should also be out.