JPY crosses shorter, GBP/USD short to the downside – Deutsche Bank

Research Team at Deutsche Bank, notes that the perceived gamma exposure in the yen crosses have turned net shorter as of last Friday.

Key Quotes

“In USD/JPY, shorts have flipped around spot, and extended in the lower-delta strikes. In EUR/JPY and AUD/JPY, shorts have been extended in both directions, most heavily from +1% to +3% of spot.

Ahead of this week’s BoE rate decision, downside longs in GBP/USD have been replaced by shorts; by contrast downside shorts in EUR/GBP have been modestly pared. In EUR/USD, shorts have been added to around spot, while topside longs have been trimmed. Elsewhere in the dollar-bloc, longs have been extended in the Antipodeans, while shorts have been added to above spot in USD/CAD.

EMFX exposure remained net long, particularly around spot. Gamma longs have been added to the downside in USD/ZAR, but pared in both directions in USD/ILS and USD/RUB. USD/Asia is little changed outside of the modest paring of topside longs in USD/MYR and USD/TWD.”