Euro/Dollar Vols Spike Briefly After G7 Meeting

  • 29 Sep 2003
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One-month euro/dollar implied volatility leapt to 12.2% on Monday last week from 10.6% but then sunk back to 10.65% by Thursday. The move came as a knock-on effect from the sharp moves in dollar/yen spot rates and one-month vols. The dollar depreciated against the euro, with spot rising to USD1.149 last Thursday from USD1.1255 the previous week.

One-month 25-delta risk reversals moved to 0.5% in favor of euro calls over euro puts from 0.2% over the same period. Traders said they had seen heavy volumes traded with business up 30-40% on the usual number of trades but not many exotic plays. Some of the business came from corporates repositioning hedges with few speculative trades.

Over the weekend a statement from the Group-of-Seven most industrialized nations said, "We emphasize that more flexibility in exchange rates is desirable for major countries or economic areas." As a result of this, dollar/yen broke through the JPY116 barrier that the Bank of Japan had been defending, causing volatility to rocket to 14% on Monday from 10.6% the previous Friday. Euro/dollar moved on the back of this. Giovanni Pillitteri, v.p. in foreign exchange options trading at Deutsche Bank in London, said the euro/dollar curve, however, has now flattened whereas other dollar curves remain inverted. This indicates the market thinks that euro/dollar volatilities will now stabilize. Andrew Chaveriat, technical analyst at BNP Paribas in New York, predicts dollar/yen will now stay around USD1.15 for the next month.

EUR/USD Spot & One-Month Implied Volatility

  • 29 Sep 2003

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 358,291.38 1348 9.06%
2 JPMorgan 320,704.66 1461 8.11%
3 Bank of America Merrill Lynch 318,128.31 1104 8.04%
4 Goldman Sachs 236,643.87 789 5.98%
5 Barclays 231,197.41 895 5.84%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 HSBC 35,007.57 165 6.53%
2 Deutsche Bank 34,880.53 120 6.51%
3 Bank of America Merrill Lynch 31,805.65 97 5.93%
4 BNP Paribas 27,920.60 169 5.21%
5 SG Corporate & Investment Banking 24,398.89 138 4.55%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 19,745.92 80 8.85%
2 Morgan Stanley 16,334.63 83 7.32%
3 Citi 15,972.34 95 7.16%
4 UBS 15,487.17 60 6.94%
5 Goldman Sachs 14,053.61 76 6.30%