FX options wrap - billions, value, GBP call, intervention, ZAR
Trader option data from DTCC shows 12.5 billion euros of EUR/USD FX options, most around 1.0900, expiring on Monday and Tuesday, so no surprise to see a limited EUR/USD spot range around this level.
Quite a busy data week which includes a European central bank policy announcement could increase volatility and add value to shorter-dated expiry EUR/USD options, where 1-week expiry implied volatility is currently trading lows since May. Benchmark 1-month is back at 5.1 from 3-year lows at 4.9 last week.
GBP-related FX options have seen demand for GBP calls increase over recent sessions, especially in GBP/USD and EUR/GBP. That demand has helped 1-month expiry GBP/USD implied volatility back above 6.0 after testing post-Brexit lows at 5.5 last week.
USD/JPY options retain a higher risk premium for downside strike options with demand for JPY calls having seemingly increased too. This price action shows a greater perceived fear of more intervention following last week's action.
USD/ZAR FX option implied volatility and its topside over downside strike premium on risk reversals has been under strong selling pressure - returning it to pre-election levels. It shows traders expect lower FX realised volatility within smaller ranges and are not ruling out the chance of more ZAR gains.
For more click on FXBUZ
USD/ZAR 1-month expiry FXO implied volatility https://tmsnrt.rs/3y864Ax
1-week expiry EUR/USD FX option implied volatility https://tmsnrt.rs/3S8sgBk
EUR/USD FX option strike expiries July 15-19 https://tmsnrt.rs/4cEvd53
USD/JPY 1-month expiry FXO 25d risk reversals https://tmsnrt.rs/3WoRHBr
(Richard Pace is a Reuters market analyst. The views expressed are his own)
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