FxWirePro: A glimpse through global derivatives markets

G10 central banks have taken over as drivers of FX, benefitting CAD and European currencies at the expense of USD and JPY in G10.

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Gamma is performing and vol curves are flattening amid the ongoing selloff in bond markets, EUR/EM crosses are standouts. Back-end (1Y) EM risk-reversals are depressed vs. ATMs, along flat curves, and severely dislocated vis-à-vis high implied yields.

Latin FX (MXN, CLP) riskies screen cheap; buy EURMXN 9M 25D R/R. In RV, buy EURINR – USDINR gamma spreads, fade elevated CAD-based correlations by selling carefully constructed CAD –GBP –AUD option triangles.

Index short term implied volatility lost -0.4pt on average (spot effect = -0.3pt).

The Euro Stoxx 50 3M ATM IV lost -0.4pt to 13.5% (vol effect =-0.2pt)

S&P500 3M ATM IV lost -0.3pt to 9.2% (vol effect = 0.1pt).

The EuroStoxx50 skew 3M 90%-110% decreased by -22bps to 7.0pt and the S&P500 skew 3M 90%-110% flattened by -30bps to 7.7pt.

Elsewhere, in equity derivatives markets:

INDEX 3M ATM IV (IV CHG = VOL effect + SPOT effect)

NDX 13.5 (-0.1pt = 0.2 + -0.3)

SPX 9.2 (-0.3pt = 0.1 + -0.4)

DAX 13.9 (-0.1pt = 0.0 + -0.1)

AEX 11.6 (-0.5pt = -0.1 + -0.4)

CAC 13.3 (-0.5pt = -0.2 + -0.3)

FTSEMIB 17.0 (-0.5pt = -0.3 + -0.2)

Volume: Index option activity was high yesterday. The EuroStoxx50 options were traded for Eur33.9bn (1.2x its 1M ADV). S&P500 options were traded for Eur271.2bn (1.3x its 1M ADV). Note that OMX was also active with Eur0.6bn traded (1.7x its 1M ADV). The EuroStoxx50 put/call ratio was at 1.4, SPX at 1.4 and OMX at 1.2.

Active Options: S&P 500: Aug-17 2485 (100%) Call for EUR4.4bn, Aug-17 2495 (101%) Call for EUR4.3bn. VIX is lower at 9.8% (down -0.1 pts).

Courtesy: Soc.Gen.