Euro crosses slippy to the topside – Deutsche Bank

The analysis team at Deutsche Bank explains that the perceived gamma exposure was net shorter to the topside in most euro crosses ahead of the ECB.

Key Quotes

“In EUR/USD and EUR/JPY shorts have been added to above spot giving rise a mildly slippy pocket from +2% of spot. In other euro crosses, topside shorts have been extended in EUR/SEK but pared in EUR/CHF. In the sterling crosses, longs have been pared above spot in GBP/USD and around spot in EUR/GBP. In the yen crosses, shorts have been added to below spot in USD/ JPY but neutralized around spot in AUD/JPY. Elsewhere in the dollar-bloc, longs have been added to in the lower delta strikes in USD/CAD and NZD/USD and in both directions in AUD/USD.”

“In USD/LatAM, the market appears to be longer gamma below spot, and shorter above spot in USD/MXN. USD/Asia is little changed, other than addition of longs above spot in USD/TWD, and paring of gamma exposure around spot in both USD/INR and USD/KRW. Elsewhere in CEEMEA, longs have been pared around spot in EUR/HUF, whilst shorts have been added to below and around spot in USD/TRY.”