Flows this week

From the FXWW Chatroom: GBP buying, upside interest – c.700 mio from a broad base of HF/RM/WM names. Immediately post the UK election announcement we saw 2m ATM and upside buying, and since then have seen general post UK election topside buying out to 6m, with the bulk around 2-3m.

EUR cash mixed, upside  – c. 500 mio from RM names but no clear directional bias. EURUSD 1.08-1.10 topside interest 1w-1m, mix of outrights and spreads from HF/banks with positions squeezed and polling data towards the end of the week. The forward vols for the first and second round are converging, now at 45 and 38 respectively (the 2nd round traded 12 over on April 11th).

EURCHF selling bias – c.300 from RM, given where spot is and the risk reward vs selling EURUSD, feels like continued portfolio hedging flow.

CEEMEA –Two way in EURCZK c. 100 both sides from a mix of names, and some 1m vol buying interest. Similar two way cash flow in USDTRY with RM trading both sides.

Asia – c. 2.5 bio gross flow netting out roughly flat. $INR buying from RM, $PHP buying from mix of names slowing downside momentum, and $MYR buying from commodity/equity names taking profit. Conversely, we have seen $TWD selling from lifers with spot unable to break recent ranges, and $CNY selling from a mix of names with a narrowing of CNH-CNY spreads. $KRW flow sizeable c. 1 bio of the total gross flow, but no real directional theme aside from RM names selling spikes. Vols have collapsed with 1m from 13.50 high to 11.50 now as the immediate concerns have dampened. (UBS)

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