WWM - Analytics


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    US FX Market Open – Thursday, May 12, 2016: YEN EASIER AGAIN WITHIN QUIET SESSION


    Overnight Events

    • USD/JPY 0.7%, EUR/USD -0.14%, GBP/USD -0.02%
    • DXY 0.14%, DAX 0.4%, Brent 0.65%, Iron -3.37%
    • DE Apr W/sale Px Idx -2.7% y/y vs -2.6% prev
    • EZ Mar Ind. Prod. 0.2% y/y vs 0.8% prev, 1.1% exp
    • Norgesbank unchanged at 0.5% as expected
    • Norway Q1 GDP 1.0% vs revised -1.3% Q4, 0.1% exp
    • Sweden Apr CPIF 1.4%, below mkt but matched Riksbank estimate
    • BoJ Gov Kuroda: don't see any chance now of return to Lehman Bros type shock
    • BoJ Gov Kuroda: oil prices showing signs of bottoming out
    • Kuroda: expect gradual rise in oil prices to push up consumer prices in future
    • BoJ Kuroda: Hard for Japan to weaken yen to boost exports - RTRS
    • PM Abe's aide Ito: BoJ likely to ease either in June or July with eye on Q1 GDP
    • BoJ Apr meet- One member-Shouldn't hesitate taking additional easing if needed
    • BoJ Kuroda: big swings in fx moves that don't reflect fundamentals undesirable

    Currency Summaries

    • EUR/USD eases 1.1425-01 in another quiet European session
    • 1.1350-1.1450 range plays are proving profitable
    • Very weak EZ IP data is largely ignored
    • Today's large expiries appear to be a key influence
    • EUR 2.2 billion of vanilla options expiries 1.1395-1.1405

    • USD/JPY has recovered from 108.23 to reach 109.25
    • Clears 109.00 decent offers which were holding up bulls earlier in the session
    • Bulls need to clear 109.47 - 61.8% retrace of the 111.90-105.55 fall
    • Supply likely to remain quite thick up to 109.50
    • EUR/JPY also higher, up from 123.69 in Asia to 124.65 in London
    • Ito's BoJ easing comments hurt the yen

    • EUR/CHF big mover in relatively quiet markets
    • Cross falls sharply from 1.1109 Wed high to 1.1051 today
    • No obvious drivers with risk and stocks on the rise
    • USD/CHF pulling lower and away from daily cloud base at 0.9730
    • Testing 21DMA support at 0.9680
    • Chart: https://reut.rs/23JLA5f
    • GBP/USD 1.4406-1.4457 was the European am range
    • BoE MPC minutes & BoE inflation Report due 7am ET
    • 9-0 Bank Rate vote consensus f/c, risk of 1 or 2 votes for cut
    • EUR/GBP 0.7892-0.7919 was the European am range

    • USD/CAD fell from an early Europe high 1.2879 to 1.2825
    • Fall influenced by higher oil prices: WTI rose from 46.10-46.70
    • 1.2825 = 1wk low (1.2829 was Wednesday’s low)

    • AUD/USD topped out at 0.7348 after rising from 0.7312 amid “risk on”
    • 0.7312 = early Europe low. Large 0.7300 option expiries today & Friday
    • 0.7300 was Tuesday low. Option barriers tipped below 0.7300, to 0.7280

    • NZD/USD is trading within strike of a 0.6830 option expiry for today’s NY cut
    • NZD 322mn strike. 0.6812-0.6837 = Thursday range-to-date

    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)

    • EUR/USD vols suffer, ECB and Brexit risk the only support
    • USD/JPY  vols retraced post BoJ gains and better value now
    • AUD/USD 1mth vol nears 2016 lows , 2.0 below realized
    • NZD 1mth vol 1.75 premium to AUD, vs flat before RBNZ capture
    • GBP gamma propped in to QIR and MPC – O/n 17.0 or 100 pips

    Economic Data(Source:Bloomberg)


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