OPTIONS: Strong Start to the Year; AUD Upside Demand Persists
Jan-07 09:11
Global FX option markets are starting the year with a bang: over $250bln notional in currency options have traded since the beginning of this week, with yesterday's session the busiest in over three months.
- Better activity persists today, with outsized demand for HKD, JPY, AUD and AUDNZD structures setting markets up for another busy session.
- Mimicking the price action in spot markets, demand for AUD upside persists, providing further evidence that markets are looking through the somewhat softer-than-expected inflation print overnight.
- Over $3 in calls traded for every $1 in puts overnight, with strikes as high as 0.6925 in solid demand. Characterising the theme, strikes consistent with a 0.6800/0.6875 call spread traded on the spot rally, expiring on January 16th - thereby capturing the possible dates within which some speculate Trump could announce the next Fed chair.
- The extension of the AUD spot rally this year continue to lend support to the front-end of the vol curve - so much so that one-week out to two-month vol maturities continue to print a premium over the G10 average, in contrast with NZD:
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
EGBS: Unwind Off Lows in EGBs as Markets Retrace Small Part of Recent Weakness
Dec-08 09:04
- Markets see an unwind off the lows in EGBs and especially in German markets, but not too surprising given Bunds have fallen 176 ticks over the past 6 sessions.
- The heavier volumes are going through in Bobls, although this is composed of a combination of swap related trades and option hedges. Initial resistance in Bunds would be seen further out, up to 128.40.
- Near term risks remain to the downside, meaning market focus will be on yields across core EGB markets.
For the German 10yr Yield, reference 127.93:
- 2.85% = 127.61.
- 2.90% = 127.12.
- 2.94% = 126.73 (2025 high and highest Yield since Oct 2023).
FOREX: FX Exchange Roll Pace
Dec-08 08:57
FX Exchange traded Roll pace, expiry 15th Dec: Some are rolling early ahead of the FOMC.
- EUR: 13%.
- GBP: 36% (above pace).
- JPY: 31% (above pace).
- CHF: 29% (above pace).
- CAD: 9% (below pace).
- AUD: 29% (above pace).
- NZD: 19% (above pace).
EGB OPTIONS: Schatz Put Ladder strip
Dec-08 08:37
DUF6 107.10/107.00/106.90p ladder with DUG6 107.10/107.00/106.90p ladder strip, sold the 1 at 14 and 15 in 5k.
