FX Flows

From the FXWW Chatroom: Nikkei Index traded cautiously at the open follow the earthquake magnitude of 7.3 hitting Fukushima Prefecture which prompted tsunami warnings. This triggered selloff in UsdJpy and spread into other currencies as well.

The US equity futures have been rather firm throughout the morning. S&P E-minis propped up above 2200 invited Usd buyers.

UsdJpy closed at 110.88 in New York and slipped as the tsunami reports rolled in. UsdJpy got down to 110.48 – I read from one FX reporter that real demand spotted under 110.50 during the US session. Talk of exporters’ offers near 111.00. More selling post-Tokyo open sent Usd to 110.27. We did see some buying from system funds below 110.40. Usd buyers emerged when the E-Minis advanced above 2200; macro buyers in the high 70’s. Small option expiry today at 111.00, both Tokyo and New York cuts.

Oil futures are looking positive into Asia open giving UsdCad a small nudge lower. We saw selling by platform names hitting bids down to 1.3410, looks like some good buying down there out of real money account. More bids scattered below 1.3400 but better buying in low 1.33’s – there is a $900mio option at 1.3400 which expires tomorrow, New York cut.

Usd weakness pushed Euro little higher but ran into option-related offers at 1.0650. Coincidentally, the 100-Hour SMA comes in at 1.0649. Some said the option at 1.0650 expires tomorrow has total notional of Eur2.85bn.

AudUsd advanced steadily, not surprising given the weak UsdJpy and firm iron-ore. Dalian Iron-ore futures gained near 6%. AudUsd offers are mentioned near 0.7400 but I was told the real deal is at 0.7440.

Small earthquake measuring 5.4 in New Zealand Hawke’s Bay stalled the Kiwi move. Market is caught short and I heard there are stops above 0.7110 away. The incident in New Zealand had market buying AudNzd as well, adding pressure on the Kiwi.

Emerging Market
Usd weakness put a squeeze for those long Usd/Asia. We saw one model account buying smalls UsdSgd in the 1.4220’s, cutting position below 1.4210. Unfortunately for him, UsdSgd buyers surfaced soon after and took Usd to 1.4220’s.

USDCNY fixed today at 6.8779, our trader Gary was spot on. Onshore USDCNY traded lower at 6.8879 on CFETS versus previous close 6.8944. This was an opportunity for buyers. Slightly due to onshore and partly North Asian demand, USDCNH traded back onto 6.91-handle.

Real money accounts are probably unwinding their hedges in UsdMyr. Offshore NDF is offered while the onshore in bid causing the spreads to be negative.

(CIBC)
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