FX Option Commentary
- European Majors: As the market madness of these past days seems to be fading, vols in ge neral have come off their highs. EURUSD vols are softer across the curve on a weighted fashion with 1W down by as much as 7.50 vols and 1Y lower by 1.20 vols. EURUSD RR have eased in the direction of the EUR calls. GBPUSD and USDCHF vols followed a similar trend while liquidity remained poor today as nervousness is not gone yet.
- JPY & Pacific: Liquidity in USDJPY vols have improved today, with sellers of vols appearing when spot moves away from 100.00 on the upside. USDJPY vols came off across the curve during London hours, with 1M vol nearly 4.00 vol softer from the levels seen in Asia. USDJPY gamma remained well bid as spot as been bouncing back in big moves. AUDJPY vols too came much softer today, as spot bounced back over 71.00 today.
- EUR-Crosses: EUR-crosses followed the general move and were softer today. 1M EURCHF was given as low as 9.75 down from 11.00 just 24h ago while 1M EURGBP was lower at 12.25. The cross EUR-scandies were offered too but to a lesser extent as 1M EURNOK is .50 softer.
- EM: USDTRY vols have started to come off. 1M USDTRY traded higher than 30.00 yesterday and retraced back to 27.00 today. The back of the curve is softer too with 1Y nearly 2.00 vol lower from yesterday
Tags: FOREX Spots, forwards & Options
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