HALISTER1: Buy USD/CNH Via Forward Outright, Option Call Spreads: Redward

Buy USD/CNH Via Forward Outright, Option Call Spreads: Redward

(Bloomberg) -- Recent dissipation of pressure on offshore yuan could be temporary, Peter Redward, principal at Redward Associates, says in an interview.
  • CNH rally since early January has underperformed relative to the yuan CFETS basket partly due to a supply-demand mismatch: Redward
  • With spot USD/CNH above recent lows, CNY-CNH spot spread essentially zero, and forward points compressed, there is value in buying USD/CNH 12-month forward outright, Redward says
  • Target 6.9500, with stop-loss at 6.3650; outright now down 0.09% to 6.6446
  • Buy 12-month at-the-money forward USD/CNH call, while selling a 6.9500 call, for leveraged ratio of around 3.2:1, Redward says
  • 12-month implied volatility at 7.7600% vs 1-year average of 6.0717%
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

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Peter Redward (Redward Associates Ltd)

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