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FX options wrap - Intervention alert, data threat, USD bid

BUZZ-FX options wrap - Intervention alert, data threat, USD bid FX option implied volatility is back at the long-term lows seen before the March 22 Chinese yuan slump, but there are a few exceptions that highlight perceived volatility risks ahead. USD/CNH 1-month expiry implied volatility spiked from 2.5 to 4.75 on March 22 but has met demand on its reversion to 3.3. One-month risk reversals flipped from a USD put, to a USD call premium that day, which remains intact to reflect the risk of more
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The perfect storm for JPY intervention is fast approaching

BUZZ-COMMENT-The perfect storm for JPY intervention is fast approaching March 28 (Reuters) - If Japan is considering intervening in the foreign exchange markets, Good Friday presents an optimal opportunity to execute this, particularly if pivotal Japanese and U.S. economic data lean towards further USD/JPY appreciation. Major banks have already signalled to the markets through their models that the risk of intervention is at its peak, driven by a significant amount of commentary from Japanese of
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Australian dollar on defensive, NZ dollar hits 5-month low

Australian dollar on defensive, NZ dollar hits 5-month low By Wayne Cole SYDNEY, March 28 (Reuters) - The Australian and New Zealand dollars were under pressure on Thursday as hawkish comments from the Federal Reserve gave their U.S. counterpart a lift, while intervention fears supported the Japanese yen. The kiwi dollar NZD=D3 also broke support at $0.5986 to reach its lowest since mid-November at $0.5981. It now risks a retreat to $0.5941 and $0.5863. The Aussie eased 0.1% to $0.6528 AUD=D3 ,
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FX options wrap - Value and protection, JPY conflict, EUR slide

BUZZ-FX options wrap - Value and protection, JPY conflict, EUR slide FX option implied volatility returns to long-term lows, aligning with a slight increase in historical volatility for cost-effective currency protection . The impending UK/EU Easter bank holidays are adding a little weight to implied volatility as traders adjust for the four dead trading days.
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Hedging the USD/JPY short gamma volatility surge

RPT-BUZZ-COMMENT-Hedging the USD/JPY short gamma volatility surge Repeats with no changes March 26 (Reuters) - Well touted short topside gamma positioning could fuel USD/JPY demand and volatility if 152.00-153.00 FX option barriers are breached, but there are low cost options that can hedge that risk. Gamma exposure is greater in near term expiry FX options with strikes close to the spot rate.
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Australian dollar dips as inflation undershoots again

Australian dollar dips as inflation undershoots again By Wayne Cole SYDNEY, March 27 (Reuters) - The Australian dollar eased slightly on Wednesday after inflation data surprised on the downside and reinforced expectations the next move in interest rates would be a cut, albeit not for a few months yet. The monthly consumer price index (CPI) for February rose 0.2% from January, keeping the annual pace at a two-year low of 3.4% when analysts had expected a rise to 3.5% or more.
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FX options wrap - Panic over, forecast, double-edge, month-end

BUZZ-FX options wrap - Panic over, forecast, double-edge, month-end Friday's panic demand for FX option implied volatility that started in USD/CNH, was quickly reversed and premiums have since reverted to long term lows . Low implied volatility is a double edged sword for FX markets - a boon for carry traders, but a hindrance for those who rely on FX volatility to generate returns.
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Hedging the USD/JPY short gamma volatility surge

BUZZ-COMMENT-Hedging the USD/JPY short gamma volatility surge March 26 (Reuters) - Well touted short topside gamma positioning could fuel USD/JPY demand and volatility if 152.00-153.00 FX option barriers are breached, but there are low cost options that can hedge that risk. Gamma exposure is greater in near term expiry FX options with strikes close to the spot rate.
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Australia dollar draws support from yuan, NZ$ in trouble

Australia dollar draws support from yuan, NZ$ in trouble SYDNEY, March 26 (Reuters) - The Australian dollar steadied on Tuesday as China put a prop under its yuan, while its New Zealand counterpart looked a lot shakier after the loss of major chart support tipped it to a four-month trough. The Aussie firmed to $0.6549 AUD=D3 , after bouncing from $0.6510 the previous session.
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FX options wrap - CNH driver, JPY intervention, month-end

BUZZ-FX options wrap - CNH driver, JPY intervention, month-end A significant USD/CNH spike reignited demand for G10 FX option implied volatility on Friday , but a lower PBOC fix had the reverse effect on Monday with broader implied volatility retracing those gains . Benchmark 1-month expiry USD/CNH implied volatility jumped from 7-year lows at 2.5 to 4.5 on Friday, but fell over 1.0 from an early 4.75 peak on Monday.
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JPY intervention threat reaches its highest level

BUZZ-COMMENT-JPY intervention threat reaches its highest level March 25 (Reuters) - The most recent comments from Japan's Vice Minister of Finance for International Affairs Masato Kanda have lifted the threat of actual intervention to the highest level (7) on Credit Agricole's barometer, warning of imminent FX intervention if the JPY continues to weaken.
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Australia, NZ dollars bounce on yuan turnaround

Australia, NZ dollars bounce on yuan turnaround SYDNEY, March 25 (Reuters) - The Australian and New Zealand dollars bounced on Monday thanks to a turnaround in the Chinese yuan, although resistance was stiff ahead of a key reading on Australian inflation due later in the week. The Aussie AUD=D3 rose 0.4% to $0.6541, having dropped 0.8% on Friday to as low as $0.6511 in part due to a sudden drop in the Chinese yuan.
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FX options wrap - Could this be the return of FX volatility?

BUZZ-FX options wrap - Could this be the return of FX volatility? What a difference a day makes! But is Friday's resurgent demand for implied volatility signalling a long awaited return from a low FX realised volatility environment, or an opportunity to initiate fresh short volatility positions ? Risk aversion and USD demand started in the Chinese yuan , where benchmark 1-month expiry implied volatility posted rapid and significant gains from 7-year lows at 2.5 to 4.5. Contagion quickly spread t
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Justifying the resurgent demand for FX options

BUZZ-COMMENT-Justifying the resurgent demand for FX options March 22 (Reuters) - After months of heavy selling, FX option implied volatility i s trading at multi year lows across all currency pairs and expiry dates, so it's probably no surprise to see a rapid recovery as risk aversion/USD demand sweeps across the market. That risk aversion appears to have started in USD/CNH in Asia Friday amid a sharp spike to new 2024 highs.
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Australia, NZ dlrs set for 2nd straight weekly decline as yuan slides

Australia, NZ dlrs set for 2nd straight weekly decline as yuan slides By Stella Qiu SYDNEY, March 22 (Reuters) - The Australian and New Zealand dollars on Friday were headed for a second straight week of losses against a resurgent U.S. dollar, pressured in part by a sudden slide in the Chinese yuan. Both held gains on a beleaguered yen, while the Aussie hit a four-month high against its kiwi cousin as the interest rate outlooks in Australia and New Zealand diverged.
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FX options wrap - FX epitome, SNB delay, JPY gamma crossfire

BUZZ-FX options wrap - FX epitome, SNB delay, JPY gamma crossfire The option premium attached to the risk of a hawkish Fed turn and stronger USD was quickly unwound after policy makers retained their prior rate cut projections. Implied volatility slumped back to multi year lows and is consistent with a lack of FX realised volatility within familiar ranges, which epitomises the current state of FX markets .
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Australia dollar jumps on jobs boost, Fed rate outlook

Australia dollar jumps on jobs boost, Fed rate outlook By Wayne Cole SYDNEY, March 21 (Reuters) - The Australian dollar climbed to a one-week high on Thursday after a startlingly strong jobs report quashed talk of early policy easing and shunted local bond yields higher. It had already rallied overnight after the outcome of a Federal Reserve meeting that was considered dovish by investors, pushing the U.S.
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FX options wrap - JPY gamma warning, Fed and SNB risk to FX

BUZZ-FX options wrap - JPY gamma warning, Fed and SNB risk to FX The JPY has fallen since the Bank of Japan's dovish hike on Tuesday, with short USD/JPY topside gamma fears fuelling demand for near dated options with a USD call skew amid fears of increased realised volatility and JPY losses . Benchmark 1-month USD/JPY implied volatility hit long term lows at 6.85 post BoJ, but has since rallied to 8.1, while 1-month 25 delta risk reversals have seen their long standing JPY call/USD put premium f
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Yen falls close to intervention levels, dollar edges up before Fed

FOREX-Yen falls close to intervention levels, dollar edges up before Fed Recasts, adds comments By Stefano Rebaudo and Ankur Banerjee March 20 (Reuters) - The U.S. dollar edged up while the yen remained around its multi-month low on Wednesday ahead of the Federal Reserve policy meeting and after the Bank of Japan (BOJ) raised interest rates for the first time in 17 years.
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Yen slides to near 4-month low, Fed in focus

FOREX-Yen slides to near 4-month low, Fed in focus Updates at 0610 GMT By Ankur Banerjee SINGAPORE, March 20 (Reuters) - The yen languished near a four-month low against the U.S. dollar and a 16-year trough against the euro on Wednesday as traders wagered Japan's monetary settings will remain accommodative even as the central bank ends its negative interest rate policy.
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