Baml: #1 Thing: 2016 Ends with A Flash

From the FXWW Chatroom: In a befitting end to the year of political upsets and flash crashes, EURUSD had a flash 150pips squeeze early Asia morning on no specific trigger. While EBS shows a high of 1.0700 (Range 1.0485 – 1.0700), our G10 spot desk notes that similar to the GBP flash crash in October, banks have varying opinions about the high traded in EURUSD today. Indeed, the sequence of prints and timestamps show it took only 4 trades @ 1.0546; 1.06005; 1.0690 and 1.0700 to cover a 150pips spike before dropping back just as fast on 2 trades to 1.06685 and 1.0577 with estimated less than 30mio EUR traded. EURUSD subsequently made a proper high of 1.0652 with at least a couple hundred million exchanging hands on the way. The move expectedly rattled vol markets with 1mth EURUSD is higher 0.3 vols and front end (1wk to 2wk) r/r in EURUSD now better bid for EUR calls – first time since the US elections. Elsewhere, adding to the drama was the last CNY fix of the year which came in ~10mins late but largely in line with market’s estimate at 6.9370. CNH funding remained tight with t/n trading to +35 from sub-20 levels and 1yr pts above 3400 despite intermittent local offers.

View the latest market information in the FXWW Chatroom with a free trial

Leave a Reply

Your email address will not be published.