Derivs - FX

Hedge funds and corporates were buying short-term calls and puts on the euro/U.S. dollar this week, as sentiment ebbed and flowed over the potential European rescue of Greece and doubts over the U.S. recovery.

Overlay Asset Management’s SingleHedge Currency Options Fund bought a one-week call on the euro against the U.S. dollar on Tuesday with a notional of EUR15 million, in anticipation of increased implied volatility ahead of a Federal Open Market Committee rates announcement.

Goldman Sachs is continuing to lose key staff from its Asia fixed income business.

Hedge funds have been buying up one-week calls on the euro against the Swiss franc this morning, anticipating the Swiss National Bank will decide tomorrow to prevent a further appreciation in the franc but that the effort may flounder ultimately.

Standard Chartered is advising investors to pocket one-year USD put/HKD calls struck at HKD7.75 to capitalize on low implied volatility on the currency pair, which is now around 0.74%. Last November, implied vol was around 1.3%.

Structured products boutique Luxembourg Financial Group and Swedbank recently launched a fund that uses short- and long-term options to capture growth from a range of underlyings while employing a mechanism to help mitigate losses in case the fund performs badly.

Strategists at Société Générale are recommending a risk reversal trade to take advantage of their view that the Australian dollar could strengthen against the U.S. dollar in the next six months, but decline again over the long term.

Patrick Pearson, head of financial markets infrastructure within the European Commission's internal market division in Brussels, told Derivatives Week in an exclusive interview with London reporter Rob McGlinchey that the Commission is collecting data from dealers and end-users with a view to drawing up a benchmark of bid/ask spreads. The aim is to help shave users' hedging costs and determine how expensive it would be on top for users to clear their trades.

David Arnold, Asia head of fixed income institutional sales for BNP Paribas, left the firm last week.

Private banking clients are looking to target redemption forwards to profit from an anticipated strengthening in the yuan against the U.S. dollar.

HSBC and others were buying billions in sterling puts against the U.S. dollar last week.

Amias Berman & Co., the fixed income advisory, origination and brokerage, is close to scoring a license from the U.S. Securities and Exchange Commission that will allow it to do business with U.S clients using an onshore broker’s license.