WWM - Analytics

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    US FX Market Open – Tuesday, June 21, 2016: STERLING EXTENDS GAINS ON BREMAIN BIAS

     

     

    Overnight Events

    • USD/JPY 0.45%, GBP/USD 0.60%, EUR/USD 0.25%
    • DXY -0.15%, DAX 0.02%, Nikkei 1.28%, Brent -0.9%, Iron 0.55%
    • CH May Trade Bal. CHF 3.786 bln vs rvsd 2.508 bln
    • UK May PSNB m/m GBP9.141 bln vs rvsd 7.572 bln prev, 9.35 bln exp
    • UK May PSNCR m/m GBP3.417 bln vs rvsd -2.043 bln prev
    • DE Jun ZEW Econ Sent 19.2 vs 6.4 prev, 4.7 exp
    • DE Jun ZEW Curr cond 54.5 vs 53.1 prev, 53.0 exp
    • German constitutional court rejects challenge of ECB OMT scheme Rtrs
    • Soros – GBP fall post-Brexit to be bigger, more disruptive vs  “Black Wed” – Guardian
    • Japan FinMin Aso – Rapid FX moves undesirable, stability important - Rtrs
    • Aso- won’t   intervene in FX so easily, no comment on response to possible Brexit - Rtrs
    • Foreigners’ stake in Japan Inc falls back below 30% - Nikkei
    • IMF DepMD Lipton – Japan must take Abenomics even further – Nikkei
    • Japan June Rtrs Tankan mfg idx 3, non-mfg 17, May 2, 19,  4, 20 exp in Sept

    Currency Summaries

    EUR/USD  
    • EUR/USD 1.1329-50 in Europe. EUR 530mln vanilla option expiries
    • EUR/GBP selling prominent as polls UK votes to stay in EU
    • Offsets much better ZEW data, Jun 19.2, previous 6.4
    • German court rejects challenge of ECB's OMT scheme
    • New CNY lows likely to underpin EUR: https://reut.rs/28KriI3
     
    USD/JPY
    • USD/JPY top has been 104.59, set in London
    • Talk Japanese corp sell interest @105.00 & above
    • Bids ahead of 103.50 & 103.00 barriers
    • Sell stops clustered below 103.00
    • Spot rebounded from 103.58 spike low in Asia, fall caused by spec sales
    • EUR/JPY has seen 117.33-118.66

    EUR/CHF
    • EUR/CHF steadier within bearish biased 1.0872-1.0905 range
    • Monday’s 1.0910 high and 200DMA standing over price 1.0910/1.0926
    • Markets generally reluctant to drive fresh direction ahead of UK EU vote
    • USD/CHF plays 0.9588-0.9622 range and cancels out Monday’s bull session
    • Swiss May trade surplus widens to CHF3.79 bln from a rvsd CHF2.508 bln
    • EUR/CHF was relatively steady through May:  1.0955-1.1128
    • Chart: 1)https://reut.rs/28KwUCb 2) https://reut.rs/28LFwbl

    GBP/USD   
    • GBP/USD extended north to a European am high of 1.4788 amid remain vote hopes
    • 1.4788 = highest level for cable since Jan 4 (1.4815 was high that day)
    • Ladbrokes & Paddy Power-3/1 UK votes to leave EU this week, 1/4 UK votes to remain
    • EUR/GBP broke below 0.7692 during the European am, en route to 0.7668 low
    • 0.7692 = 1.30 GBP/EUR (0.76925 was Monday low). 0.7668 = June low

    USD/CAD
    • USD/CAD has fallen to 1.2763 amid “risk on” influenced by hopes UK will reject Brexit
    • 1.2763 = 8-day low. Bids may emerge near 1.2750 (June 13 low)

    AUD/USD      
    • AUD/USD extended north to test 0.7505 during the European am
    • Ascent influenced by rise in risk appetite amid hopes Britain will vote to remain in EU
    • 0.7505 was June 9 high. Stops tipped above 0.7510. Asia range was 0.7453-0.7488

    NZD/USD
    • NZD/USD rose to a fresh 12mth high of 0.7161 during the European am
    • Relatively high-yielding NZD benefitting from rise in risk appetite
    • Rise in risk appetite influenced by hopes Britain will vote to remain in EU

    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)

    • Yesterday saw vols hit as Brexit odds lengthened – GBP vols lead the way
    • 1wk Cable 40.0 from 53.0 a drop of 200 pips in premium to 650 pips
    • 1mth Cable vol now 21.0 from 25.0 Friday. EUR/GBP 1mth 19.0 from 24.0
    • EUR/USD 1wk 20.0 to 15.5, 1mth 13.0 to 10.5, 1mth RR 2.4 from 3.4 EUR put
    • USD/JPY vols off post BoJ highs, but market wary of more JPY strength
    • AUD/USD vols heavy as ranges hold and are cheapest Brexit hedge

    Looking Ahead - Economic Data (GMT)

    • 12:30 Philadelphia Fed Non-Mfg Survey Jun prev 18.2
    • 12:55 Redbook Same-Store Sales Index prev 0.7% y/y

    Looking Ahead - Events, Other Releases (GMT)

    • 12:30 UK Survation Brexit poll for IG accessible via IG.com/uk/live-video
    • 14:00 Fed Chair Yellen delivers testimony to SBC; Washington, DC
    • 18:30 Fed Governor Powell roundtable on alternative reference rates;  NY
    • 20:30 Fed Chair Yellen and Tsy Sec'y Lew at FSO Council meet; Wash, DC

     


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