EQUITIES: US Opening Calls, Focus on NVIDIA

Bank of America look ahead to the coming two weeks of macro risk and recommend positioning via two-sided optionality in FX markets. They see levels of implied vol as having moved to sufficiently cheap levels at which point they believe long 2-week gamma in select USD pairs has become worthwhile.

• Within G10 FX, they isolate AUD/USD as offering the cheapest 2-week gamma, and flag AUD and NZD as being the most underpriced - however the coverage of Q2 Australian CPI on July 29th puts AUD in the spotlight.
• BofA flag the wide range of outcomes on tariffs, in addition to the FX impact from economic data and FOMC guidance. As a result, they would prefer to own two-sided optionality. In the event of a major event-driven vol shock like in April, AUDUSD 2-week realized vol could outperform the implied vol by 13 big figures, far surpassing the additional premium paid at inception.

POTUS Trump via Truth Social: "Housing in our Country is lagging because Jerome “Too Late” Powell refuses to lower Interest Rates. Families are being hurt because Interest Rates are too high, and even our Country is having to pay a higher Rate than it should be because of “Too Late.” Our Rate should be three points lower than they are, saving us $1 Trillion per year (as a Country). This stubborn guy at the Fed just doesn’t get it — Never did, and never will. The Board should act, but they don’t have the Courage to do so!"

• FRBNY EFFR for prior session:
  • Daily Effective Fed Funds Rate: 4.33% (+0.00), volume: $107B
  • Daily Overnight Bank Funding Rate: 4.33% (+0.00), volume: $273B
• Repo Reference Rates from earlier -
  • Secured Overnight Financing Rate (SOFR): 4.28% (-0.02), volume: $2.692T
  • Broad General Collateral Rate (BGCR): 4.27% (+0.00), volume: $1.115T
  • Tri-Party General Collateral Rate (TCR): 4.27% (+0.00), volume: $1.092T
  • (rate, volume levels reflect prior session)