1. FX Outlook
  2. FX Options Weekly

Macro and Vol Commentary

USDPLN weakened in recent weeks, breaching the support level of 4.60 for the first time since August. With the latest round of interest rate meetings from major central banks and the surprise pause in rate hikes from Poland, what is the outlook for the pair until the year-end?

Poland's economy

  • GBP growth, while weaker than seen in Q2, grew at a decent pace of 3.5% in Q3, with the central bank highlighting the weakness in the consumer sector.
  • According to the central bank's forecasts, the economy is expected to grow at 4.0% this year before decelerating sharply to 0.7% in 2023.
  • There is downside to GDP next year, not just from the consumer sector but also due to weaker trade as Poland’s largest trade partner is Germany. Their largest exports are machinery, electrical equipment and autos/auto parts.
  • Construction sectors of the economy continue to show resilience, with output improving sharply in October, at 3.9% y/y.
  • Retail sales, on the other hand, have cooled considerably to 0.7% y/y as continued price increases undermine real disposable income
  • We have seen a slight improvement in consumer confidence from November's lows
  • This comes as a consequence of lower energy prices lifting the sentiment for consumers.
  • However, we do not expect it to hold, and the gauge should continue to fall to pandemic lows at a gradual pace.
  • Poland took on the biggest number of Ukrainian refugees since the end of February, with 1.46m currently registered in the country under the temporary protection scheme, according to UNHCR
  • Still, the unemployment rate has continued to fall since January and is now at the 2019 low of 5.1%.
  • With almost 6m Ukrainians entering the country, more than 1.3m were granted social security and 420k found work.
  • With the labour market remaining resilient, the real wage growth is diminishing, and this was exemplified by the latest reading coming in flat M/M.
  • Indeed, CPI continues to break higher, with the recent October release at 17.9%, significantly higher than the inflation rate seen in Western counterparts
  • In October, the pace of growth has softened, and we expect the November figure to plateau or come slightly lower as a result of softening energy factors.
  • Still, the core part of inflation is set to continue to break new highs in the meantime, with shelter and essential items driving the incline.
  • The latest reading came at 11.0%, up from 10.7% in September 1998 high.

Oil price cap

  • Poland relies on Russia for 46% of its fuel imports; whilst not the highest share amongst the bloc, still enough to create supply shocks to the economy that is entering the winter period
  • According to Gas Infrastructure Europe data, Poland has 98.5% of its gas needs in storage vs the minimum EU target of 85%
  • Indeed, out of the 36.4TWh of capacity, 35.8TWh is now filled as of 21st November.
  • With just weeks off until the bloc is due to halt the majority of Russian energy imports, the countries are still clashing over the level of the cap and whether to link it to a broader round of sanctions
  • Poland has asked for a push far lower in price ceiling, below the $65/bl, creating further pressure on Russian producers to comply.
  • The country made a promise in May that it would try to end oil imports from Russia by year-end.
  • The country's biggest refiner PKN Orlen, has already cut its domestic reliance on Russian oil to 30%, replacing it with sources from Saudi Arabia and Norway.
  • Still, with no official government confirmation of a joint response to a cut in energy, the refiner is to import beyond the year-end.

Central Bank

  • Base rate remained unchanged during the latest meeting from the central bank of Poland in November, an unexpected move given the expectation of 25bps
  • Poland was ahead of the ECB as it started to increase the rates by the end of 2021, vs July this year when the ECB first hiked its rates.
  • The rates have increased by 665bps since then and now stand at 6.75%, the highs not seen since 2002
  • Still, this marks the first time CB to pause the hikes.
  • As a result of a sudden change of policy to a halt, investors are now demanding the most extra yield since 2008 to hold Polish government bonds.
  • The move shot down the confidence in the policy markets' willingness to tackle price growth, especially as the government boosted spending on everything from energy subsidies to social handouts before an election is due next year.
  • As a result, a looser monetary policy outlook is coupled with loose fiscal policy, creating an opportunity for further price growth.

Poland's economic data paints a grim picture: double-digit inflation, negative real interest rates, and a growing fiscal deficit are eating away at the country's economic growth. While performance in Q2 was a welcoming sign, the future growth hinges on demand from other European nations, which is set to tip into recession. While Poland's debt-to-GDP ratio is low in comparison to other nations, at 50%, further fiscal expansion at a time of high inflation and high refinancing costs is set to compound risks for the economy in 2023. While we have seen PLN improve against the dollar in recent weeks, we attribute this more to dollar weakness than to zloty strength, and new bouts of greenback strength should keep USDPLN supported by 4.40 until the year-end. In the meantime, in line with the rest of Europe, a weaker economic backdrop, a cut-off from Russian energy imports, and a pause in monetary policy tightening will create strong headwinds for the currency into the year-end.

Sources: S&P Global, Central Statistics Office of Poland, Narodowy Bank Polski

Volatility Commentary

In-line with Macro FX Vols USDPLN implied and realised vols spiked at the start of the year with the Russian invasion of Ukraine, and unsurprisingly has yet to return to pre-invasion levels. Though recently there hasn’t been a consistent spread between implied and realised vol, though in the event of any further escalation (e.g recent stray missiles into Polish territory) we’d expect vols to spike and a strengthening in the USD and with Poland being so close to the conflict zone we’d expect risk off sentiment in PLN. Inline with the above comments we also note the economic hardship facing Poland which is in line with the wider European economy and respective monetary policy between USD and PLN we suggest a trade benefitting from USDPLN spot heading higher with a relatively low day 1 Vol exposure.

USDPLN 1-month Implied and Realised Volatility

Realised Vs Implied (7)

USDPLN Trade Idea

  • Price in 10m USD notional per leg
  • 3 month expiry
  • Buy USDPLN Call Spread strikes 4.7500 & 4.9500 – Cost circa 75k USD
  • Sell USDPLN Put Spread strikes 4.4000 & 4.2500 – Receive circa 73k USD
  • Total cost circa 2k USD

Positioning Charts

USDBRL NDO Positioning Data 15/11/2022 - 22/11/2022

The options market was more subdued in the week to November 29th, the range was narrower at the front end, with the market trading between 4.80-6.00 until the start of next year. The range then widens and there is a number of put and call options expiring mid-January. The number and size of notionals for calls is also getting smaller then, suggesting small upside cover. In the meantime, the market is expected to increase with options due for expiry favouring the upside, the notional value is large and this could suggest more conviction.

Usd Brl 15 22 (4)

USDBRL NDO Positioning Data 22/11/2022 - 29/11/2022

Usd Brl 22 29 (2)

USDCNY Vanilla Positioning Data 15/11/2022 - 22/11/2022

The volume of options reduced in the week ending November 29th, in particular, there are fewer call options for expiry in December. There is a cluster of calls traded with a range of 7.10-7.30, this suggests the market believes there will be a moderate upside momentum. The downside cover is also seen narrowing last week. Still, appetite for options is seen diminishing week-on-week, with smaller notional size for both put and call options.

Usd Cny 15 22 (3)

USDCNY Vanilla Positioning Data 22/11/2022 - 29/11/2022

Usd Cny 22 29 (2)

USDPLN Vanilla Positioning Data 29/09/2022 - 29/10/2022

Option volumes declined in number but grew in size the month to November 29th, the near-term range was narrower and there was more upside calls traded. The narrow range indicates range-bound outlook, and the larger notional value confirms the conviction. This indicates the market expects prices to remain unchanged in the immediate term.

Usd Pln Oct Nov

USDPLN Vanilla Positioning Data 29/10/2022 - 29/11/2022

Usd Pln Sep Oct

Charts and Tables

FX Expiries

Expiries (58)

Volatility Grid

Grid (55)

Historical Spot FX Volatility (30D Rolling)

Chart (22)

FX Matrix (today)

Spot (80)

Weekly Change

Week (62)

Key Events & Releases

Calendar (95)

Technical Analysis

JP Morgan Global FX Volatility 


The index has weakened in recent sessions after failing into resistance at 11.65. The stochastics are in oversold territory and diverging on the downside. The MACD diff is negative and diverging, but the momentum on the downside is slowing. For now, both of the indicators point to deteriorated sentiment in the near term, but the index needs to break support at 11.39 and the 50 MA at 11.40. On the other hand, if the prices continue to hold this level, we could see the index push higher towards the 11.65 level. In the long run, the index needs to take out 200 MA at 11.83 to confirm the trend. The trading in recent sessions has been range-bound, and we expect to see further downside before a possible trend reversal.

Dollar Index 


The dollar index has contracted in the last couple of sessions, breaching the 106 level once again. The stochastics are falling further into the oversold, and MACD diff suggests lower prices; we could see the breakthrough of support at 105.34 before 105.00. The index struggled to break below that level in recent sessions, forming a double bottom, and if this level holds above this level, this could trigger gains back above 50 MA at 106.50 towards the 100 MA at 106.98. In order to regain upside conviction, the index needs to gain a footing above the 50 MA, a robust resistance level.



The pair has weakened in recent weeks below the support level of 50 MA; the market closed at 44.9, finding support at 4.45. The fall below this level could pave the way for a challenge of 4.40. The MACD diff is negative and converging, suggesting waning downside pressures for the prices. RSI has risen marginally higher, and %K%/D is seen converging on the upside, signalling a potential buy signal in the near term, and is now edging out of the oversold. On the upside, the pair needs to gain a footing above 50 MA at 4.52, which could set the scene for 100 MA at 4.54. The indices point to a change of trend, but the pair needs to break back above 5.00 before suggesting further upside in the near term.



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