Michael Schmeja, Global Head of Derivatives Sales, Saxo Bank
Expected slow start to the week in Asia and Europe with activity to die down in the afternoon as the US markets are closed for Independence day. Volatility a touch lower in general by around half a vol. EURUSD 1 month atm at 13.40 after 13.75, cable at 11.85 after 12.05, USDJPY at 11.95 after 12.85, EURCHF 11.15 after 11.75 on Friday. JPY crosses lower too, about 1 vol compared to Friday, EURJPY 17.55 after 18.40, GBPJPY 17.15 after 18.20, AUDJPY and Gold unchanged.
We have some large expiries today and tomorrow around 1.2500, tomorrow talk of 1 bn of 1.2500in vanilla options. The AUD, we have RBA and unemployment this week, sees downside in demand which is also reflected in the high risk reversal, where AUD Put are 4.5 vols over AUD Calls for the 1 month 25 deltas.
Risk reversals for other majors are lower to unchanged, EURUSD 1.05 after 1.20, cable unchanged, USDJPY 2.30 after 2.40, EURCHF 1.00 after 1.35.
Scandie volatility unchanged as you would expect if you look at the spot.
No major changes to my positions, however should we clear out the 110.80 level in EURJPY I might start trading my long EURJPY spot.
Short Term Trading ideas:
EURJPY
Comment:
I buy spot, notional 1 at 111.25
I buy expiry 1 month 15th of July a 109 EUR Put, notional 1
I sell expiry 1 month 15th of July a 114 EUR Call, notional 1
Cost of 23 JPY pips on a notional of 1, after I bought back the 0.55 overhang.
EURNOK
Comment:eu
Sold EURNOK Call, Strike 8.0700, Exp 1 month, 26th of July for 510 NOK pips
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