FX flows today in Asia are +28% from yesterday and +30% vs the five-day running average. In G10, the standout flows were banks buying USDJPY and AUDUSD. The desk also saw macros buying GBPUSD, adding to the RHS skew bias evolving in GBP.
We saw retail selling EURUSD. In options space, JPY vols all rallied with the risk-off tone and USDJPY spot making its way lower through 110. Risk reversals have performed quite well and have been marked higher along the curve too, while cross-JPY curves have all been bid for the past 24 hours.
In EM Asia we have seen macros buying USDCNH, though a lot of it was offset by banks selling USDCNH. Taiwan equities sold off today so USDTWD downside might be very limited with outflows. Nevertheless, the trading desk still likes to play for curve steepening here.
EUR vols are holding in after the FOMC. Market feels like it has a short derived on higher spot in gamma. lm EUR Vol is 5.3 right where it was supposed to roll post event with various topside strikes remaining bid. The gamma Riskies have moved higher as well with 1w 0.2 for calls.
GBP vols are lower as lm about 0.1 lower than where it should have rolled last trading at 6.6. The market has a long derive higher spot in the front end of the curve which will keep gamma suppressed and calendars bid.
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