FX flows are +57% vs yesterday and +51% vs the five-day average, with higher total volumes following the strong US CPI print on Wednesday. USD bias is mixed among client types, with macro-directional buying offset by USD selling from real money and retail names.
In G10, the standout flows were AUDUSD selling by macro and real money clients following the weaker-than-expected Australian employment data earlier today. Macro also bought EURUSD and USDJPY, while retail names sold USDJPY on the post-CPI rally in USDJPY. In options, JPY vols moved higher overnight, with the large move higher in spot up to 114 post-US CPI data. USDJPY lm is back up to 6.2 vol from around 5.9 yesterday.
In EM, macro is buying USDSGD and selling USDPHP, with EM Asia vols a bit higher, tracking G10 vols, which went a leg higher post-US CPI print. The trading desk expect continued strategic buying flows of USD calls on the back of the price action in yields, which should keep the ATM and risk reversal curves steep in USDCNH and USDTWD.
Via: UBS
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