From the FXWW Chatroom: Cash volumes remain relatively light and mixed in terms of USD directionality. USDJPY buying from macros names, GBPUSD buying from RM names, and two way in EURUSD. General USDEM selling but in social size, with USDTRY buying the notable exception. Vol focus entirely on the French election, 3month interest in non-EUR risk pairs picking up too.
USDJPY – Net buying of c.800 driven by macro names towards the end of the week, prior to that RM had been sellers towards the highs.
GBPUSD – Buying from RM names, not huge size but consistent demand on dips over the past 3 weeks.
EURUSD – Good two way flow c.1.5 bio, but hard to pick out a theme with a mix of names on both sides. Notable lack of participation from macro names.
USDEM – Net selling of c.600 USDAsia driven by RM and macro names in the latter half of the week, SGD/KRW/TWD/PHP the standouts. Similarly better sellers outright and LHS swaps across EM more broadly, though in social size. USDTRY buying from RM the notable exception, c.250.
Vol – Focus is entirely on the French Election. This week in EURUSD the 1st / 2nd round election dates have been moving in parallel (the 1st round having repriced relatively higher last week). Market is getting increasingly illiquid for these dates now. Increasing interest in the crosses as well. EURJPY driven up to 90 vol for the 2nd round, by contrast GBPUSD hit 120 before Brexit but only in the week before the event. Similarly EURJPY 3month skew to vol ratio as high as it was for Brexit. Interest in non-EUR risk pairs picking up too with buying of 3month AUDUSD/USDCAD/NZDUSD seen. Less so in USD vs EM, which has been marked higher but in little volume. Front ends are heavy (partly due to selling to finance the post-election longs) apart from gamma interest for certain events, next week’s Trump speech in particular, Yellen’s 03 March speech to a lesser extent. (UBS)
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