⚠️💱 Gamma Declines But Premiums Remain Above Par: Cable FX Macro
- Rosbel Durán
- Sep 25, 2023
- 1 min read
**As seen in Macro Walk Report 09/22/23, subscribe at cablefxm.co.uk/reports
Front-end volatility posted declines across the board, the largest drop was seen in 1w USD/JPY vol as it dipped 352bps to 7.435%
GBP gamma followed the yen, both settled after major risk events. Hedging demand for dollar-yen 1w tenor is now at the lowest in more than a year
Despite the decline, volatility premiums remain above 0.0 in the yen curve. Antipodes' vol shares this performance as we're set to hear from both RBA and RBNZ during the first week of October, AUD/USD 2w vol premium stands at +206bps
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