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EUR/CHF: Market signals suggest a move to 1.25 by SNB later tonight
The big Swiss banks usually know exactly what’s going on in their home currency and reports from the options market has them as heavy sellers of EUR/CHF Gamma in recent sessions. That means they don’t see a big rise in spot volatility after the SNB which I interpret as a play on a 1.25 ‘peg’. The market is long, so if there’s no peg adjustment, that would mean a big sell-off in my view and a big rise in volatility. A move to 1.30 would also lead to large spot volatility so my conclusion is that the big Swiss players expect a new EUR/CHF base later tonight at 1.2500.
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