Derivs - FX

Geopolitical tensions and doubts over US monetary policy loom large, but one micro event in March tends to dominate the credit markets: the semi-annual index roll.

Zurich-based index provider STOXX has launched the STOXX Japan Strong Balance Sheet Indices, designed to underlie exchange-traded funds and structured products.

Hedge funds are buying 12-month put options on US dollar, offshore Chinese yuan, targeting 6.50 and above, in a bid to hedge their core short USD, onshore yuan positions, according to traders.

Investors have been picking up short-dated options on the US dollar against the yen, following comments from Federal Reserve governor, Janet Yellen, regarding the timing for an interest rate hike.

Corporate investors are increasingly restructuring their US dollar, offshore yuan target redemption forwards following the currency pair’s move higher to 6.20 this week, a key downside barrier many of the deals were structured with.

The Australian Securities Exchange believes volume in its S&P/ASX 200 Volatility Index Futures will increase with greater volatility.

Short gamma investors were seen scrambling to cover their positions in the European credit options market last week, which has since drove implied volatility upwards on the iTraxx Main.

The Monetary Authority of Singapore is looking to impose a range of margin requirements and other rules on derivative dealers for some retail leveraged fx trades and contracts for difference in a bid to better protect investors.

Volume and liquidity in Japan’s Nikkei 225 Volatility Index Futures market could increase next week, following the integration Monday of two of Japan’s derivatives markets.

The CBOE short-term volatility index is seeing roughly twice as much volatility as the longer-term VIX index, Dom Salvino, VIX specialist at Group 1, told attendees at the CBOE Risk Management Conference this afternoon.

NASDAQ OMX Derivatives Markets is planning to introduce weekly options on Swedish shares, with the product now available for member testing in external systems.

NASDAQ OMX Clearing has become the first European clearinghouse to receive approval under the European Market Infrastructure Regulation following a decision by the Swedish FSA. The decision on Tuesday followed an opinion on March 12 by regulators and central banks from Denmark, Finland, Norway, Sweden and the UK, including the European Central Bank and the European Securities and Markets Authority.