The carry trade looks far more lucrative in a non-dollar CNH cross such as EURCNH. The carry/vol setup is comparable to USDCNH (refer above chart), with the added attraction that the cross is that it is better insulated from dollar gyrations and therefore more liable to deliver positive carry returns.
Recall too that EUR has a substantial 16% weight even in the expanded CFETS basket, so EURCNH is a special cross that can be considered to be the most parsimonious reduced form representation of the basket itself and subject to tight PBoC management; also importantly, one where option markets are somewhat liquid and leveraged carry expressions realistic.
Since the CNY basket has traded largely sideways even through the turbulence unleashed by the US election outcome, it and its proxies such as EURCNH strike us as friendlier animals to bet stability on.
We like to initiate 3M ATMF vs. ATMS EUR put/CNH call vanilla spreads this week to earn carry in the cross, more esoteric expressions can take the form of ITMS EUR put/CNH call at-expiry digitals.


Stock Futures Dip as Investors Await Key Payrolls Data
US Futures Rise as Investors Eye Earnings, Inflation Data, and Wildfire Impacts
Geopolitical Shocks That Could Reshape Financial Markets in 2025
JPMorgan Lifts Gold Price Forecast to $6,300 by End-2026 on Strong Central Bank and Investor Demand
Lithium Market Poised for Recovery Amid Supply Cuts and Rising Demand
Morgan Stanley Raises KOSPI Target to 5,200 on Strong Earnings and Reform Momentum
Bank of America Posts Strong Q4 2024 Results, Shares Rise
Elon Musk’s Empire: SpaceX, Tesla, and xAI Merger Talks Spark Investor Debate
Gold Prices Fall Amid Rate Jitters; Copper Steady as China Stimulus Eyed
Indonesia Surprises Markets with Interest Rate Cut Amid Currency Pressure
Trump’s "Shock and Awe" Agenda: Executive Orders from Day One 



