USD Yuan options

[xandman]

It's already been devalued substantially. I suspect it will actually get stronger. That aside, the options are probably not expensive, you may not be accounting for the interest rate differential which is substantial.

Accreditation of the Yuan as a reserve currency. Is this why you expect strength in the Yuan?


http://www.bloomberg.com/news/artic...y-pass-the-imf-currency-test-you-ll-know-soon

 

[Maverick74]

Accreditation of the Yuan as a reserve currency. Is this why you expect strength in the Yuan?


http://www.bloomberg.com/news/artic...y-pass-the-imf-currency-test-you-ll-know-soon

That's one reason but the other is the transition from an export economy to a domestic one. As their middle class grows, Chinese producers are going to start selling more in their own county vs exporting. They will let their currency float and it will get stronger.

 

[xandman]

@xandman So you mean the puts on the yuan is expensive for a reason and it is likely that the CYB options are not really expensive in comparison to other?

I meant that IV has remained observably high since the devaluation. This is a pegged currency, so it means that participants expect something to happen down the road.

In relative terms, there is a noticeable put skew. Like anything, whether it is really expensive can only be done in hindsight analysis if the market went your way. The back months will typically have a flattening of the smile which is non existent here, but we don't really seem to have enough months to effectively evaluate. I will post a vol surface later today.

 

[MacroAlex]

I meant that IV has remained observably high since the devaluation. This is a pegged currency, so it means that participants expect something to happen down the road.

In relative terms, there is a noticeable put skew. Like anything, whether it is really expensive can only be done in hindsight analysis if the market went your way. The back months will typically have a flattening of the smile which is non existent here, but we don't really seem to have enough months to effectively evaluate. I will post a vol surface later today.

I see what you mean, good point.

I found some options on Yuan/USD futures but it looks as there is no bid or ask available. Does anyone have suggestions how to get these?

 

[xandman]

This is in the evening. Bid/ask is wide but it is 30 lots each side. Trades on the CME. Call your broker.

 

[xandman]

Check out the IV/HV.

 

[xandman]

Here is the skew. Apparently, I was VERY wrong about the put skew as I viewed the surface on CYB. This smile is very symmetrical.

 

[MacroAlex]

This is in the evening. Bid/ask is wide but it is 30 lots each side. Trades on the CME. Call your broker.

View attachment 159690

Thanks but it looks like this is the swiss franc you are showing if I am not wrong. I was talking about the RMBX6 future. Are you having volume for those options?

 

[xandman]

My mistake. You are correct. oops: I actually worked in that pit for 3 years a two decades ago.)There doesn't seem to be any listing of these options on the CME or Quickstrike. If you are with IBKR, they might have an international futures market that's liquid. Aside from that, you may be able to get a custom product with a forex broker. But your stacking major costs.

 

[promagma]

That's one reason but the other is the transition from an export economy to a domestic one. As their middle class grows, Chinese producers are going to start selling more in their own county vs exporting. They will let their currency float and it will get stronger.

Except, exporting puts upward pressure on the yuan. Less exporting won't help to strengthen the yuan.