OPTIONS: Funding Currencies in the Spotlight Ahead of Jackson Hole
Aug-22 11:46
- Vol markets isolate JPY, CHF as carrying the most sizeable vol premium tied to Jackson Hole and the Ueda appearance, while local risks in Mexico support MXN and BRL vols into the second half of the week. The vol moves keep break-evens on an overnight straddle comfortably ahead of the YTD average (implying a ~125 pip swing in spot for a Friday expiry) however short of the prevailing levels pre-July BoJ and the last US jobs report.
- Front-end G10 FX vols have seen solid support headed into the Jackson Hole Policy Symposium, with Powell and Bailey's respective policy speeches drawing focus as well as an appearance in front of Parliament from BoJ's Ueda. This keeps funding currencies in focus given their sensitivity to the Fed policy cycle - for which markets more than price a 25bps cut in September, and 96bps by year-end.
- Despite the focus on Powell and the proximity to the September Fed meeting, relatively little clarity is expected from the Fed Chair on Friday - he's unlikely to deviate from the script too much - emphasizing data dependence and a meeting-by-meeting approach - however any reference to the envisaged tempo of cuts or the eventual destination for rates would be market-moving. Our full Jackson Hole preview found here: https://roar-assets-auto.rbl.ms/files/66056/Aug2024JHPreview.pdf
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EGB OPTIONS: Sep '24 Bobl Put
Jul-23 11:19
OEU4 115.50p, paper pays 10.5 in 8.3k.
- Strike at 115.50 is just below the July 5 low and key short-term support at 115.530.
OPTIONS: Larger FX Option Pipeline
Jul-23 11:19
- EUR/USD: Jul24 $1.0990(E3.2bln), $1.1000(E1.0bln)
- USD/JPY: Jul24 Y156.00-05($2.3bln); Jul25 Y158.00($1.5bln)
- AUD/USD: Jul24 $0.6600(A$1.6bln)
- USD/CNY: Jul24 Cny7.3000($1.2bln)
US TSY FUTURES: BLOCK: Sep'24 5Y Sale
Jul-23 11:08
- -4,500 FVU4 107-09.25, sell through 107-09.5 post time bid at 0701:00ET, DV01 $190,000. Contract trades 107-08.75 last (+2.5)
