Med term CTA / system base, as well as macro , has been active today.
Sporadic Real Roney flows (see PHP below) , but this is generally the case in times like this….Macro and CTA base , with RM guys [generally] following. Interesting to see if we get this ‘follow thru’ from them.
Reductions in CAD and AUD longs vs USD and EUR by CTA’s.
Even with small recovery in the pm session ..the appetite was still evident albeit at a slower pace.
HF space has been creating new risk averse positions , but more via options than cash mkt.
EUR$ many enquiries / purchases of [short dated] downside options. 1mth 2.5 vol jump in less than 48hrs explains the strength of the buying.
What’s positioning like in EURO now?
Conversations amongst risk takers , internally and externally, , would appear than mkt sitting ‘comfortably’ short EUR$ now…scale of 1-10..I’d go with a 7.
Trading now taking the tact of waiting for a small rally to sell into close to 1.4200.. ..so have reduced cash position slightly,but added to risk via options.…
Target being 1.3970 May low and ultimately the 200 DMA at 1.3820
Asian FX…relative calm in this move. Seems like mkt very reluctant to trim Asian longs positions still and is hedging by buy USD (vs EUR) and JPY.
Interesting to see CHF not really getting a strong lift from risk aversion now.
We did buy USDPHP for RM ..as rates were left unch vs hike the mkt expected.
INR well behaved after the beating it got yday on high WPI>
USDCNY sellers above 6.4000 1year evident.
CE4…Liquidity been bit of a struggle and price action here been a little exaggerated I sense. USDTRY a classic example here.
RUB: Behaved very well today. Exporter base a handy supply of USD’s here. Sold good amount of USD’s here on the day.
Latam.
NYK came in and beat risk. Biggest Cash outflow we saw was in USDCLP as it broke above recent top. CTA reduction here.
HF’s played MXN and BRL weakness…but we saw this via option as opposed to cash. $MXN ran out of steam above 12.00 and I sense mkt as reluctant to give up BTRL longs as it is to give up Asian longs overall.
This piece from our Global head of asset allocation.
Cutting risk further raising cash and UST’s
Worth a print off
Bottom line.
Some punchy anti risk flows going thru , vol reacting accordingly.
HSBC Global Research