Global FX Gamma: G10 and EM net long – Deutsche Bank

Research Bank at Deutsche Bank, suggests that the perceived gamma exposure has turned net longer in G10 FX.

Key Quotes

“In the yen crosses, shorts have been neutralized at the low delta strikes while longs have been extended around spot. In EUR/USD, modest longs have been added to from - 1% to -5% of spot while topside longs have been trimmed. By contrast, a long pocket has emerged above spot in GBP/USD.

Elsewhere in the dollar-bloc, downside shorts in NZD/USD have flipped to longs and topside shorts have neutralized post the RBNZ meeting; in both AUD/USD and USD/CAD, longs have been extended in both directions. Finally turning to the scandies, longs have been pared below spot in EUR/SEK, and added to above spot in EUR/NOK.

EMFX exposure has also turned stickier. In USD/MXN, shorts have been added to below spot while longs have been pared around spot. In USD/BRL, shorts have been trimmed on both sides of spot. USD/Asia is little changed outside of the paring of longs below spot in USD/TWD.”