EQUITIES: Tomorrow's Triple Witching
Dec-19 10:30
Tomorrow's Year end Triple Witching could be a Volatility (Gamma) event, again looking at the Option expiries in Notional Terms:
- SPX: $3.55T vs $3.48T (Tuesday).
- NDX: $127.49bn vs $124.13bn.
- Amazon: $15.49bn vs $14.90bn.
- Apple: $27.58bn vs $22.07bn.
- SX5E: €427.53bn vs 427.98bn.
- SX7E: €25.26bn vs €25.27bn.
- DAX: €58.10bn vs €58.36bn.
- CAC: €8.69bn vs €8.67bn.
- FTSE: £54.60bn vs £54.94bn .
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FOREX: JPY Adopts Haven Status as Russia-West Tensions Ratchet Higher
Nov-19 10:30
- JPY is comfortably the outperformer in G10 FX, with the currency re-adopting a safe haven status amid an upturn in geopolitical risk and escalated tensions between Russia and the West. The Kremlin have formally approved a further tweak to their nuclear doctrine, allowing for use of nuclear weaponry in the case of long-range missiles used to strike inside Russian territory. The new doctrine was tested almost immediately, as the Ukrainian military confirmed a strike on a warehouse in a military facility in Karachev, Russia - reportedly using US-supplied ATACMS weapons.
- A bout of EUR sales came alongside the Ukraine headlines - prompting EUR/USD to hit new lows and show through the 1.0550 level. EUR/CHF came under pressure in tandem, through the October lows to pierce the mid-September support of 0.9307 - thereby exposing 0.9211.
- EUR/JPY's risk-off triggered slide made light work of yesterday's lows on the Russia headlines, putting the cross at the lowest level since mid-October. The Oct21 low provides first support here at the Y162.00 handle, which coincides with the 38.2% retracement for the recovery off the post-intervention low - making support crowded at current prices. GBP/JPY has traded through the 50-dma for the first time since September, looking to 192.28 as next major support.
- Focus for the session ahead turns to US housing starts and building permits data for October as well as the Canadian CPI print. The speaker slate is considerably quieter relative to yesterday, with just Fed's Schmid on the docket to speak on the economic and monetary policy.
FOREX: FX OPTION EXPIRY
Nov-19 10:19
Of note:
AUDUSD 1.46bn at 0.6600 (a bit too far).
EURUSD 1.03bn at 1.0600 (thu).
USDCAD 1.1bn at 1.4000/1.4025 (thu).
AUDUSD 1.85bn at 0.6450 (thu).
- EURUSD: 1.0520 (450mln), 1.0545 (855mln), 1.0590 (500mln), 1.0600 (301mln), 1.0625 (354mln), 1.0650 (1.71bn).
- AUDUSD: 0.6600 (1.46bn).
- AUDNZD: 1.1035 (347mln).
ECB: Panetta Cements Dovish Stance In Call
Nov-19 10:14
The ECB should lower interest rates to neutral “or even into expansionary territory if necessary” as restrictive monetary conditions are no longer necessary across the euro area with inflation close to target and domestic demand stagnant, Bank of Italy Governo Fabio Panetta said Tuesday.
- Panetta noted on 23 October that the ECB cannot exclude the necessity to lower borrowing costs below a neutral level, but his latest comments are much more explicit.
- Overall, this cements the Bank of Italy Governor's dovish stance. As such, there was little tanglible reaction in EUR STIRs to the comments, with the latest Russia/Ukraine headlines driving price action this morning.
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