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Fundamental Archives |
Written by Saxo Bank |
Sep 02 10 11:51 GMT
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Vol Treads Water Pre-NFPs
Markets are in neutral mood this morning and I doubt there will be any changes until tomorrow's Non-Farm Payrolls from the US, and the usual speculative, rumor-driven trading on a Friday afternoon.
Hence, for today I expect EURUSD to tread water around 1.2800 supported by big volume expiries at 1.2800 and 1.2775. The 1 month EURUSD is about 0.5 of a vol lower than yesterday at 11.45 vs. 11.95, GBPUSD at 10.62 vs. 11.10. Without fresh impetus GBPUSD will soon try to tackle the 10 handle on the 1 month again where I would expect traders to go long vol as it offers value.
The risk reversal in both pairs did come off a tad and trade nearly identically at 1.50 favoring Puts over Calls. USDJPY spot around 84.00 and I think market players buy USDJPY upside while being short spot at the same time. We have seen demand for Call strikes, short-term and the risk reversal is flat on the 1 week after it favored JPY Calls with a 1 vol difference last week. Clearly a sign that we don't trust the BoJ and the market wants to be prepared should they intervene.
In AUDUSD the 1 week now captures the RBA rates decision and while we have had good numbers and a new government might be in place soon, I feel we are overdone. Somehow I want the AUD lower and with the pair and the related crosses so elevated traders might consider buying vol.
Good numbers out of Switzerland will keep the CHF and vol supported, albeit we trade about 0.5 of a vol lower than yesterday in line with the overall market. The better the numbers the less the strong CHF will damage the economy and the SNB might indeed think about hiking rates. 1.2500 here we come?
USDTRY and USDZAR have given away their gains (for those that didn't take them... ) and look attractive again. USDTRY 1 month at 10,35, higher than the low I was talking about at 9.65 but off the highs at 11.10, USDZAR at 13.85 after 15.20. Especially at USDZAR I see strong support around the 7,2000 level. |
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