Cross Market Analysis

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UK IP number awful

people I've spoken too are unsure how to react, market clearly lower on the shock. But most people think its an anomaly for UK data.

Still quite high to buy the GBP, but on the rates side, a dip like this is quite nice. That may in turn lead to GBP support. But ultimately the link is not that strong.

UK 5Y rates down 5bps.

Bank of America spot desk notes

Unicredit notes

RBS sterling weekly note

GBP dip has been bought as expected, just an odd number, don't read too much into it... The longs aren't going to shake that easy.

2yr rate spreads (implied depos) stand at 64bps from 67bps, implying a GBPUSD closer to 1.70. However I think peeps will start paying UK rates at this "bargain" level vis a vis US. so not GBP bearish yet.

G10 FX 1 month implied volatility is picking up, now off the lows by about 0.5 vol points

In reality, one would expect to see the USD supported, but remember this is just "implied" or expected vol. For the USD to pick up, we need to see "actual" vol occur, which it isn't...

In the meantime, carry is still bid.

US 10 year yield broke firmly through 2.60 earlier, dragging the USD down with it...

Goldman and Morgan stanley both saying huge bids down at 101.50

getting more interesting...

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The more the better guys, just msg me

Thanks for sharing this. It truly adds value.

One truly wonders...

With;

 

1. a "supertyphoon" en route to Japan... (probably over-exaggerated imo)
2. US equity looking to tip over in the near term / Nikkei looking even more vulnerable
3. JPY vols insanely cheap
4. almost no risk reversal on shorter dated options

maybe its a good time to protect against some unexpected tail risk?

I'm looking at a 3W USDJPY 101 put. costs a mere 25 pips to protect against any crazy repatriation flow or US equity sell-off we may see.

Any thoughts from anyone?

Yea that country hit by endless natural disasters

haha well unfortunate for them I say... doesn't help being on a triple plate boundary!

poor sods. Still, I don't expect *much* market impact from this weather

Nice insight . Keep posting . Subbed

my view is yen already quite strong recently so unless there is major damage, repat flow wont be enough to push it below 101. now us equities sell off is likely (rumor has it large bond fund earlier in the year sold 1940-50 puts on s&p in size so it is possible market sells off :-))

Some traders thoughts...

EURUSD hourly...

trapped this week at 1.36, large option expiries keeping it pinned as hedging flow rules over the boring summer markets

limited upside, maybe takes some stops at 1.3650 out, but little legs in it for sure.

edit - added DTCC chart of option expiries, 1.3550 and 1.36 big pin risk over the next 7 days. >$2bn on each.

USDJPY found support again!

christ this thing is getting tiresome. 200 point range for the entire year almost.

This is my CSM on Daily. Notice the turns on GPB, NZD and AUD.

what is CSM?

Currency Strength Meter

Is the currency strength meter that mesure the strenght of each currency against the others.
You can find different ones here on FF weighted on different indicators.