Nomura Tracks Asia Currency Options Flows: Focus on CNY, KRW, and SGD

Overview

This is a regular data-tracking report on the Asian FX options market issued by Nomura. The report does not provide directional investment advice but uses quantitative data to illustrate recent trading activity and structural changes in the options market for major Asian currency pairs. It details the notional trading volume (separated into Calls and Puts) for pairs such as USD/CNY, USD/KRW, and USD/SGD over the past 24 hours and one week, segmented by strike and expiry. Additionally, it highlights significant upcoming expiries in the next two weeks to help investors understand potential support/resistance levels and sources of volatility.

Core views

The report presents the microstructure of the Asian FX options market through multi-dimensional tables and charts. Trading Flow Monitoring: The report focuses on the notional trading volume (in million USD) for each pair, separating USD Calls/Local Puts from USD Puts/Local Calls. Data is presented in two rows: the first for the past 24 hours and the second for the past week. This high-frequency data helps capture sudden shifts in short-term sentiment. Strike and Tenor Structure: Beyond aggregate figures, trading volume is further broken down by strike intervals and expiry months. For example, USD/CNY shows volume distribution across different strikes, while USD/SGD highlights activity in June and November 2026. This granularity helps discern whether participants are hedging short-term risks or positioning for longer-term trends. Outlier Detection: A 6-month rolling Z-score is applied to daily and weekly volumes to standardize the data. Color-coded bands (e.g., -2 to -1, -1 to 0, 0 to 1) visually indicate whether current activity significantly deviates from historical averages, enabling quick identification of anomalously active strikes or pairs. Notable Expiries: The report lists major expiry strikes due in the next two weeks, ranked by total notional. These large open interests often exert support/resistance or amplify volatility around expiry, serving as key technical factors for short-term traders.

Analysis framework

The report employs a classic 'market microstructure analysis' and 'flow analysis' approach. Rather than deriving FX targets from macro fundamentals, it infers market participants' true intentions and risk preferences by observing actual trades in the derivatives market, particularly options. It compares Call vs Put volumes to gauge whether sentiment is bullish or bearish. Statistical tools like Z-score are used to filter out seasonal or routine noise and flag 'anomalous' trades with signal value. Finally, it leverages the Gamma exposure around option expiries to warn of potential liquidity impacts on the spot market from large open interests. This methodology complements traditional fundamental analysis by identifying short-term price drivers from funding flows and position structures.

Methodology notes

• Event-Based Trading & Behavioral Finance

  Options Flow Analysis and Z-score Anomaly Detection

  By tracking actual traded and open interest volumes in the options market and using Z-score (standard score) to measure deviations from a 6-month mean, the report identifies extreme shifts in market sentiment or significant moves by major players. Higher Z-scores indicate heightened activity, potentially signaling major re-pricing or increased hedging demand.

• Quantitative/Factor/Portfolio Theory

  Option Expiry Effects (Gamma Exposure)

  The report focuses on major expiry strikes due in the next two weeks. As large option positions approach expiry, market-makers' dynamic hedging (Gamma Hedging) can amplify price movements or create 'magnetic' effects around specific strikes, serving as critical short-term trading considerations.

Key data

• Time WindowsPast 24 Hours & Past 1 WeekHigh-frequency tracking of options trading flows
• Z-score Benchmark6 MonthsMeasures current volume deviations from historical averages on a standardized basis
• Single Trade Disclosure Cap~$300M USDNotional size of individual trades above this level is capped for client confidentiality
• Pairs CoveredUSD/CNY, USD/KRW, USD/HKD, USD/TWD, USD/INR, USD/SGD, USD/IDR, USD/PHPEncompasses Greater China and Southeast Asia major emerging market currencies

Impact & implications

The report views options trading flows and open interest distributions as critical windows into market sentiment and potential volatility. For FX traders, monitoring these metrics helps understand technical drivers of short-term rate moves, especially when large option clusters anchor support or resistance around specific strikes. Abnormally high volumes often signal increased hedging against uncertainty or large directional bets. However, the report emphasizes that these data reflect trading behavior and do not directly predict future FX moves; investors should integrate them with macro fundamentals.

Risks

• Options data may be lagged or sampled, not fully representative of total market positions.
• Single trade disclosures are capped, potentially obscuring strategies of super-sophisticated participants.
• Short-term expiry effects are liquidity-dependent; if liquidity dries up, theoretical Gamma impacts may not materialize.

What to watch

• Major expiry strikes and corresponding notional sizes for each pair in the next two weeks.
• Z-score movements in options volume, especially when exceeding ±2.
• Changes in the Call/Put volume ratio for key pairs like USD/CNY and USD/KRW.