Focus on huge 0.9000 USD/CHF option barriers. USD/CHF hit 1-m lows of 0.9018 yesterday, lowest level since 0.8932 on Feb 29. SNB likely to be watch the huge 0.9000 option barriers in USD/CHF, given the impact on EUR/CHF, now at 1.2053-55, just about 50 pips from the EUR/CHF peg at 1.2000.
1-m Vols for CHF at 9.440%, from 9.365%. 1-m levels around 9.165/9.175%, r/r 0.620/1.005%. 3-m Vols 9.93/10.485%. R/r 0.610/1.00%. Focus on break of 0.9000 option barriers, but good Swiss, Zurich, options bids likely ahead of the level. USD/CHF at 0.9040-50, offers at 0.9080-0.9100 - sell on rallies.
Topside, good EUR/USD 1.3400 option barriers after 1.3375 K-o taken out yesterday. 1-m Vols for EUR levels around 9.175%, vs 9.115%, Hearing option players comfortably selling vols on expectation that the Eurozone crisis has calmed down. Though good to watch for any spike up given concerns over Irish referendum on May 31. 1-m Vols levels 0.9000/0.9350%, r/r -0.915/-0.617%. 3-m Vols 9.79/10.09%, r/r -1.61/-1.410%.
Talks of real money, custodians, Russians, sovereigns, East Europeans and lots of bids around 1.3300-10 for now. Focus on concerns over Irish EU Treaty referendum and impact of a No vote - to trigger fresh concerns over eurozone crisis. WL
0 comments:
Post a Comment