FX options wrap - USD put, EUR value, GBP cap, JPY fear, SNB
A reluctance to build any significant short USD positions via USD put options could be highlighting a lack of conviction about deeper USD losses.
EUR/USD is a case in point - testing above late August highs at 1.1201, but related implied volatility is only marginally higher and with limited demand or additional premium for topside strikes. There could certainly be some value in long topside strikes at current levels as they would increase in value if EUR/USD threatens/breaks longer term highs at 1.1276.
GBP peaked against the EUR ahead of big 0.8300 barriers on Tuesday, while GBP/USD breached those at 1.3400 for 1.3430 before attracting FX and gamma sales to signal a potential upside limit.
USD/JPY saw demand for short dated expiry options to capture volatility related to Friday's LDP election which could have BoJ policy and FX implications and shouldn't be ignored.
The Swiss National Bank is expected to cut rates by 25bps or 50bps on Thursday, with the uncertainty heightening the related CHF volatility risk that's attracting plenty of additional risk premium to overnight expiry options.
For more click on FXBUZ
USD/JPY option strikes traded this week https://tmsnrt.rs/4eDD9nt
Overnight expiry FXO implied volatility in CHF and EUR/CHF https://tmsnrt.rs/4gRfulN
1-month expiry FXO implied volatility https://tmsnrt.rs/4dg4pY9
(Richard Pace is a Reuters market analyst. The views expressed are his own)
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