Lots of market activity today despite the HK typhoon
NDFs in CNY are higher, CNH spot is +150 pts from yesterdays close in Asia
CNY
1mth paid up to 3.4 from 2.9 yesterday
3mth 25d RR trading at 1.5 for cny puts
6mth 25del rr trading at 2.25 for cny puts
1y 25d rr at 3.0 vol for cny puts, 1y atm traded at 5.3
1y 6.70s traded at 7.3, 1y 10.0 strikes trading at 22 vol
1y 12.0 strikes are 10/18 bp, 2y paid at 8.0 but comes back offered
CNH
8nov 6.45s paid at 8.75, 9mth 15del rr paid at 2.85 then 3.15
1y 25del rr paid at 3.4
Generally the RR and flies have increased significantly, ATM rising today as well. A couple of notable spread crosses from guys desperate to get liquidity and trade in size
HSBC Global Research