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. (full story)