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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.
OPTIONS
- After several consecutive sessions of incredibly subdued FX volumes, Tuesday saw hedging activity bounce back strongly on the back of the US CPI print, with over $100bln notional crossing via the DTCC - close to double that seen during Monday trade.
- Trading was led by EUR/USD and USD/JPY hedges (CNY still lags due to new year market closures), with demand for USD upside protection evident throughout. EUR/USD's put/call ratio rose to 2.4 during Tuesday trade - stalling, and partially reversing, the uptick in 1m risk reversals noted off the February low.
- Despite the uptick in options volumes, global EM and DM implied vols are close to cyclical lows. The only notable exceptions are CHF, JPY and CLP vols (see box and whisker below) as recent spot breakouts feed into implied.
- Wednesday's expiry pipeline is dominated by $1.0700 - 1.0750 strikes in EUR/USD (E2.4bln), $1bln rolling off at Y151.00-05 in USD/JPY and £643mln at 1.2550 in GBP/USD.
Figure 1: 3m Implied Vols close to cyclical lows across G10 and EM FX
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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