1. FX Outlook
  2. FX Options Weekly

Macro and Vol Commentary


  • The eurozone economy has managed to avoid contraction in Q1 2023 but the outlook remains bleak.
  • According to Eurostat, Eurozone GDP was 0.1% QoQ. 
  • Germany, the biggest economy in the common currency area experienced a 0.3% contraction in the first months of the year, putting it on course for a technical recession. 
  • Eurozone retail sales fell more than expected in March by 1.2% MoM with the biggest decline of 2.4% in Germany.
  • Eurozone business activity expanded at a softer pace in May.
  • Euro area manufacturing PMI fell to 44.8 last month.
  • The numbers indicated the biggest contraction in the manufacturing sector in six months: squeezed purchasing power, tightening financial conditions, and a shift to inventory destocking could cap manufacturing further.
  • While services PMI persisted in expansionary territory at 55.90, it marked a decrease from April’s reading of 56.20, confirming a subdued outlook for Q2. 
  • Inflation has slowed to the lowest in more than a year at 6.1% YoY in May, but still remains well above the 2% target set by the ECB. 
  • Core CPI came in lower at 5.3% in May compared to 5.6% the month before. 
  • Still, the ECB is committed to raising interest rates further, and markets are pricing in another two 25bps interest rate hikes at the next meetings in June and July, respectively.  


  • The US economy continues to show signs of resilience, with economic growth in Q1 2023 revised up to 1.3% annualised rate, up from an initial estimate of 1.1% reported last month.  
  • Consumer spending, which accounts for more than two-thirds of US economic activity, increased more than expected in April by 0.8% MoM. 
    - Retail sales rebounded 0.4% MoM in April following two months of declines, mostly driven by online retail sales, which surged by 1.2%. 
  • A 0.6% rise in sales at food services and drinking places indicates that consumer demand remains resilient despite a challenging macroeconomic environment. 
  • At the same time, US business activity is robust, pointing to a regained economic momentum at the start of Q2 2023. 
  • Flash S&P Global PMI data signalled a 13-month high increase in US business activity at 54.5, marking a fourth consecutive month in expansionary territory. 
  • Still, the divergence widens between manufacturing and services with the former registering only marginal growth, which slowed from the previous survey period. 
  • Rebound in consumer spending and business activity comes at a time of persistent labour market strength, which could encourage the Fed to keep interest rates higher for longer. 
  • US job growth accelerated in April as employers added 253,000 jobs, up from 236,000 jobs in the previous month.  
  • While unemployment rate was expected to increase, it fell to a 53-year low of 3.4%, indicating that tighter credit conditions are yet to have an impact on the economy. 
  • Average hourly earnings increased by 0.5% MoM in April, adding to inflationary pressures. 
  • Inflation remains strong and well above the Fed’s target. 
  • CPI increased by 0.4% in April, compared to a 0.1% in the previous month, driven by shelter and higher petrol and used vehicles prices. 
  • Still, annual CPI reading slowed to 4.9% in April, the first move below 5% since April 2021. 

Given the current economic background and the US economy proving to be more resilient than the Eurozone, we expect bearish dynamics of the EURUSD currency pair. Persistent uncertainty on the market could also lead euro to weaken further on safe-haven demand for dollar. On the upside, the key focus remains on the ECB and its divergence from the Fed when it comes to monetary policy outlook. Markets are currently pricing in another 25bps Fed interest rate hike within the next two months, but recent comments from the Fed members let us believe that it is unlikely. We expect the Fed fund rate to remain at 5.00-5.25 until the end of the year, while the ECB continues to pursue its tightening campaign.  

Sources: S&P Global, European Central Bank, Bureau of Labour Statistics, Federal Reserve

EURUSD Trade Idea

  • Put spread, buying the 1.0685 put and selling the 1.0650 put expiring on the 5th of July.  
  • BUY 1.0685 EURUSD Put 
  • SELL 1.0655 EURUSD Put  
  • Both options expire on 05/07/2023 in 5m EUR notional.  
  • Cost is circa. 5k EUR  
  • Potentially payoff: Circa. 11.5k EUR if spot finishes at 1.0660.   

Positioning Charts

USDBRL NDO Positioning Data 19/05/2023 - 26/05/2023

USDBRL option positioning in the week ending June 2nd is showing a strong appetite for expiry taking place in the first week of July, with a greater number of puts to calls. The downside cover was extended to 4.70, suggesting growing momentum on the downside. However, at the same time, from the week ending June 26th, the number of option expiries also reduced, and the size of the notional weakened, suggesting a lower overall appetite for the pair.

Usd Brl 19 26 (4)

USDBRL NDO Positioning Data 26/05/2023 - 02/06/2023

Usd Brl 26 2 (1)

USDCNY Vanilla Positioning Data 19/05/2023 - 26/05/2023

 USDCNY option positioning remained broadly unchanged in the week ending June 2nd, with both the upside and downside cover extending, suggesting a lack of strong momentum in either direction. Indeed, near-term expiries remain broadly balanced, with expiries in the 7.00-7.20 range. Further downside the line, a greater number of calls suggests marginal appetite on the upside.

Usd Cny 19 26 (4)

USDCNY Vanilla Positioning Data 26/05/2023 - 02/06/2023

Usd Cny 26 2 (1)

EURUSD Vanilla Positioning Data 19/05/2023 -26/05/2023

 Near-term option expiries for EURUSD remained broadly unchanged in the week ending June 2nd, with the number of puts slightly bigger than that of calls, but the difference is marginal. The biggest difference is seen in expiries taking place closer to the year-end, as we saw options appetite in November move closer to October. The number of calls then is seen outweighing puts, suggesting some upside pressure over the longer-term.

Eur Usd 19 26

EURUSD Vanilla Positioning Data 26/05/2023 - 02/06/2023

Eur Usd 26 2

Charts and Tables

FX Expiries

Expiry (49)

Historical Spot FX Volatility (30D Rolling)

Chart (42)

FX Matrix (today)

Spot (101)

Weekly Change

Week (82)

Key Events & Releases

5 9 Czerwiec



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