Derivs - FX

The U.S. House of Representatives Committee on Agriculture will hold a meeting tomorrow to consider the latest draft of the Derivatives Markets Transparency and Accountability Act of 2009, following two consecutive days of hearings on Capitol Hill.

RBS Greenwich Capital bought a sizeable out-of-the-money put option with a knock-out on cable last Tuesday.

BNP Paribas is pitching the sale of long-dated volatility when one currency has traditionally been higher yielding than another, with the expectation the market will recover in 2010 and vol will come down.

Fx traders were selling one-month at-the-money straddles on the EUR/USD late Wednesday and early Thursday, pocketing premiums and playing the view that volatility will fall.

London’s Rhicon Currency Management is focusing its flagship currency hedge fund, the USD465 million Rhicon Strategic Program, on technical and opportunistic trades held for less than a week.

The non-deliverable forward market was pricing in a slight depreciation of the yuan against the U.S. dollar after the fx market reopened following the Chinese New Year.

After neutralizing their foreign exchange positions towards year-end, dealers are generally long gamma because option flows are having a stronger influence on the spot price than activity in the cash market.

Deutsche Böerse’s International Securities Exchange hopes to pitch trades on a USD-based fx options basket by year-end as it continues to target users looking to move from the over-the-counter currency market onto an exchange, thereby eliminating counterparty risk.

A big barrier trade of undetermined origin is set to expire on Tuesday and when it does there is likely to be a bounce in volatility on EUR/USD options.

Currency options traders were buying USD/JPY calls today to cover a potential upside move in the yen, after a sharp rise yesterday caused by a large put with a JPY90 strike expired.

Fx investors looked to short-dated cable at-the-money straddles Tuesday, after the sterling plunged on the back of the U.K. government’s second banking bailout.

Kensington Blake Capital, an Atlanta-based consultancy, has started to advise clients on investing in asset-backed securities and using interest rate, fixed income and fx derivatives. The firm was founded last March with eight partners—all but one of whom had worked at Wachovia Securities.