Options activity: CHF sell-off to be short lived?

Omkar Godbole FXStreet Contributor

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

Author

Omkar Godbole

FXStreet Contributor

Omkar Godbole, editor and analyst, joined FXStreet after four years as a research analyst at several Indian brokerage companies.

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