WWM - Analytics


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    US Market Open – Wednesday, February 17, 2016



    Overnight Events

    • EUR/GBP 7781 to 7845 and back to 7763
    • GBP/USD drops to 1.4244 and then back to 1.4339
    • USD/JPY plays 113.37 to 114.40 towards the high into NY
    • CH Feb ZEW Inv sentiment -5.9 vs -3.0 prev
    • UK Jan ILO Jobless rate 5.1% vs 5.1% prev, 5.0% exp
    • UK Dec Avg Earnings 1.9% 3m y/y vs 2.0% prev, 1.9% exp
    • UK Chancellor-stats show we are moving towards full employment- Twitter
    • William Hill-1 to 4 on Brexit Ref being held before end of June vs 1-2 earlier
    • OPEC head-To discuss oil output cap with Iran, Iraq, Venezuela-WSJ sources
    • China NDRC – Able to keep yuan basically stable - Rtrs
    • Boston Fed Rosengren – USD rise/oil fall depressing inflation, rate cut possible-Rtrs
    • China VicePrem– Will strengthen efforts to arrest trade deceleration –Xinhua


    Today’s events

    An expiring FX option heading into the New York Cut, if close enough to the strike price, can act as a magnet for selling/buying.  If the option is large, it can generate enough trading to move the market.  

    Option Expirations(Source:ThompsonReuters)

    • Big jump in 1mth vols today as expiry rolls over FOMC
    • USD/JPY vols gained as spot fell o/n, ease now, but JPY calls still bid
    • EUR/USD stuck in range, keeps a lid on vols. 1mth risk reversals neutral
    • GBP gamma well bid in to EU summit – 1wk Cable 200 pips, EUR/GBP 130 pips
    • Brexit risk maintains a solid bid for vols and GBP puts falling after June
    • USD/CNH vols and CNH puts losing ground this week – stay heavy


    Chart - (Source:ThompsonReuters)
    DAX closing in on Feb 8 high
    Decent rebound out of Tuesday’s 9135 low and price within striking distance of the 9338 February 8 high. Daily momentum still with the bears but a run above the 21-Day MA line at 9395 should skew momentum back topside. Retracement levels off the 9905-8699 January 28-February 11 drop provide targets at 9444 and 9620 61.8% and 76.4% respectively.  A fresh constructive look to the index but the February 8 high looks to be pivotal to further gains. Chart: https://reut.rs/1Qld7mf

    Economic Data(Source:Bloomberg)


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