Funds Snap Up Euro Calls/Yen Puts

  • 07 Jan 2002
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In an otherwise quiet week fx traders in Singapore last week reported strong demand from hedge funds buying short-dated euro calls/yen puts, which boosted volatility. "A few funds are creating a big effect," said an options trader at a European house in the Lion City, noting that their actions were magnified by the thin post-holiday markets.

In a typical trade, funds were buying short-dated euro calls/yen puts, with maturities from two-weeks to one-month with strikes around JPY120. Spot was at JPY119 last Thursday. "Everyone's been buying at JPY120 or above," said an options trader at Bank of America in Singapore.

The options trader at the European house added: "there is still plenty of bad news coming from Japan," explaining the demand for euro calls. Trades were typically in notional sizes of up to EUR100 million. Anne Sanciaume, foreign exchange strategist at Lehman Brothers in London, attributed the rally in the euro to the introduction of notes and coins in the European Union as well as to continued yen weakness. "Implied vol has gone up a whole point," she said, noting that one-month implied volatility has jumped to 13% from 12% over the course of one week. One-month historical volatility is much lower, she noted, at 9.6%. "There's still upside potential for euro/yen volatility." Sanciaume forecasts further yen weakness will drive up vols to around 13-14% in three months. Lehman's three-month forecast for the euro/yen pairing is JPY126.40.

EUR/JPY Spot & One-Month Implied Volatility

Source:J.P. Morgan

  • 07 Jan 2002

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 60,274.44 194 8.13%
2 JPMorgan 59,428.00 214 8.02%
3 Barclays 51,688.09 168 6.97%
4 Bank of America Merrill Lynch 42,506.65 151 5.74%
5 HSBC 40,145.65 182 5.42%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
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1 Bank of America Merrill Lynch 6,160.68 5 15.90%
2 Deutsche Bank 3,400.72 4 8.77%
3 Commerzbank Group 2,532.05 5 6.53%
4 Citi 2,513.95 6 6.49%
5 BNP Paribas 1,742.18 7 4.49%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
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1 UBS 998.25 3 13.32%
2 Citi 693.55 2 9.26%
3 Morgan Stanley 572.72 3 7.64%
4 Bank of America Merrill Lynch 509.34 3 6.80%
5 Jefferies LLC 409.89 4 5.47%