Options activity: CHF sell-off to be short lived?
|Having bottomed out at 0.9438 a week ago, the USD/CHF spot rose to a one-month high of 0.9722 levels in the Asian session today. Another way of looking at the sell-off in CHF is via futures, which have shed close to 300 pips since last Friday.
Despite the sell-off, the Open Interest (OI) positions in the out-of-the-money (OTM) calls have improved shows the preliminary data published by the CME for CHF/USD CHUU7 contract.
| Call Summary | |||||
| Total | ITM | OTM | |||
| OI | Chg | OI | Chg | OI | Chg |
| 320 | 108 | 130 | 24 | 190 | 84 |
| Put Summary | |||||
| Total | ITM | OTM | |||
| OI | Chg | OI | Chg | OI | Chg |
| 1,767 | 53 | 34 | 1 | 1,733 | 52 |
- The jump in the OI positions in 1.06 call and 1.07 call indicates the investors have hedged short CHF futures via long call positions.
- Moreover, it is also an indication the CHF weakness is seen as temporary. What adds credence to this argument is the fact that the in-the-money (ITM) put options have hardly witnessed any additions.
Aslo read: EUR/CHF jumps above 1.13, risk reversal turns positive & USD/CHF clocks 13-month high, runs into 23.6% Fib R of 2000 high - 2011 low
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