WWM - Analytics

    WWM

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    US FX Market Open – Wednesay, June 22, 2016: PRE-REFERENDUM CONSOLIDATION

    Overnight Events

    •GBP/USD 0.23%, USD/JPY -0.24%, EUR/USD 0.45%
    • DXY -0.3%, DAX 0.6%, Brent 1.05%, Iron 3.48%
    • CH Jun ZEW Inv Sent 19.4 vs 17.5
    • SE Jun Cons Sent 98.7 vs 96.00 prev
    • SE May Unemployment 7.6% vs 7.3% prev, 7.2% exp
    • SA May Core CPI 5.5% y/y vs 5.5% prev, 5.6% exp
    • William Hill-3/1 Brexit  EU, 2/9 Britain votes to remain
    • Rtrs – 61% of Japanese firms support  delay in sales tax  hike
    • Rtrs  60% Japanese concerned over ccy swings on Brexit
    • Australia May Westpac/MI leading idx 97.0, 96.8 prev

    Currency Summaries

    EUR/USD  
    • EUR/USD sees slow but steady bid 1.1254-92 in Europe
    • Seems stale shorts taken yesterday are pared after loss momentum
    • Traders are keen to keep risk to a minimum until UK votes on EU
    • EUR 1.5bln vanilla expiries @ 1.1250-65 may draw later (14GMT cut)
    • EUR 675 mln expiries 1.1300-20 add to resistance @ 55-DMA 1.1303
    • US existing home sales @ 14GMT. Stronger sales expected
     
    USD/JPY
    • USD/JPY remains capped by Japanese exporters above 105.00
    • Spot fell from 104.85 to 104.31 so far today
    • Bids said to be in size ahead of 104.00
    • Holding yen natural for investors due to Brexit event risk
    • 48/72H log correlation between USD/JPY & Nikkei Futures 0.81/ 0.84
    • 1.1B worth of 104.00 NY cut expiries, 1.5B noted @105.00
    • EUR/JPY sees 117.43-118.00

    GBP/USD   
    • GBP/USD remains volatile ahead of Thursday’s Brexit referendum
    • 1.4644 = European am low to follow 1.4716 early Europe high
    • EUR/GBP met headwind at 0.77 after firming from 0.7665 (early Europe low)
    • Opinium Brexit poll due around 11.30am ET

    USD/CAD
    • USD/CAD eased to a European am low of 1.2772 amid higher oil prices
    • WTI is trading above $50/barrel. 1.2782 was Asia low
    • Large 1.2775 option expiry for NY cut, $430mn strike

    AUD/USD      
    • AUD/USD has risen to 0.7502 amid higher commodity prices
    • Copper 1%. 0.7442-0.7472 was Asia range. 0.7513 was Tuesday’s 7wk peak

    NZD/USD
    • NZD/USD is eyeing 0.7169 (Tuesday’s 12mth high) after firming from 0.7121
    • 0.7121 was Asia low. 0.72 is a resistance level beyond 0.7169

    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) - (Source:ThompsonReuters)

    • 13:00 FHFA House Price Index Apr prev 6.1% y/y
    • 14:00 Existing Home Sales May mkt 5.54 mln, prev 5.45 mln
    • 14:30 EIA Weekly Petroleum Status Report

    Looking Ahead - Events, Other Releases (GMT) - (Source:ThompsonReuters)

    • 13:45 FedTrade operation 30-yr Fannie Mae/Freddie Mac max $2.475 bln
    • 14:00 Fed Chair Yellen delivers semi-annual MPR and testimony-HFSC Washington


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