Nomura Asia FX Options Daily: Active Trading in USD/CNY and KRW
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Nomura Asia FX Options Daily: Active Trading in USD/CNY and KRW
Nomura has released its daily report on the Asian FX options market, focusing on recent trading volumes, key strike price distributions, and upcoming expirations for currency pairs such as USD/CNY and USD/KRW.
- The report covers major Asian currency pairs including USD/CNY, USD/KRW, USD/HKD, USD/TWD, USD/INR, USD/SGD, USD/IDR, and USD/PHP.
- It displays call/put option trading volumes over the past 24 hours and the past week, categorized by Delta buckets.
- Details of the top 20 largest trades by notional amount over the past 24 hours and one week are listed.
- Summarizes notable option expiry strike prices and corresponding notionals for today and the next two weeks.
- Provides 25-day Risk Reversal levels and changes for each currency pair.
Report interpretation
Overview
This report is Nomura Global FX Research’s daily update on the Asian FX options market (SDRFX), aiming to reflect short-term market sentiment and positioning toward major Asian currencies through high-frequency options trading data. It covers trading activity in CNY, KRW, HKD, TWD, INR, SGD, IDR, and PHP against the USD, highlighting trading volume distributions, large trade details, and key expiry positions, offering investors technical and flow-based reference points.
Core views
The core content of the report centers on the microstructure of options markets across major Asian currency pairs. For USD/CNY: Data shows significant trading in both USD PUTS/CNY CALLS (bearish USD/bullish CNY) and USD CALLS/CNY PUTS (bullish USD/bearish CNY) over the past 24 hours and week. Recent large trades include multiple transactions with notional amounts of USD 300 million, struck between 6.55–6.77, with maturities ranging from short to medium term (e.g., expiring November 2026). Notable expiries on May 21 and June 1 feature substantial notional amounts concentrated around the 6.75–6.80 range. For USD/KRW: The KRW options market remains active, with several USD 60 million USD CALL trades executed over the past week, strikes clustered between 1430–1485, and tenors mostly 1–3 months. This suggests active hedging or speculative demand regarding near-term KRW volatility. Significant open positions expire in late May to early June, centered around 1460–1470. Other currency pairs: Detailed trading heatmaps and large-trade records are provided for USD/HKD, USD/TWD, USD/INR, among others. For example, USD/HKD saw several USD 150 million put trades over the past 24 hours, struck between 7.76–7.80. The report also uses Z-score heatmaps to highlight abnormal trading volumes across Delta buckets, helping identify extreme sentiment points.
Analysis framework
Nomura employs an 'options flow analysis' methodology in these daily reports. By aggregating options trade data registered with DTCC (Depository Trust & Clearing Corporation), trading volumes are bucketed by Delta—a measure of an option’s sensitivity to movements in the underlying asset price, which also approximates moneyness. This approach helps distinguish directional bets from hedging activity and identifies dense strike zones where market participants are actively positioning. Additionally, 'Risk Reversals'—the difference in implied volatility between calls and puts at the same Delta—are used to quantify market sentiment bias (positive values indicate bullishness; negative values indicate bearishness).
Methodology notes
Delta Bucketing Analysis for Options
Options trades are grouped and analyzed by Delta value. Deltas near 0 represent out-of-the-money options (often used for tail-risk protection or high-leverage speculation), while Deltas near 1 represent in-the-money options (typically used as substitutes for spot positions or deep hedges). Observing volume shifts across Delta buckets helps determine whether the market is engaging in directional positioning or tail-risk management.
25-Delta Risk Reversals (25D Risk Reversals)
A key technical indicator of market sentiment, calculated as the difference in implied volatility between 25-Delta call and put options. A rising Risk Reversal indicates greater willingness to pay a premium for calls, signaling strengthening bullish sentiment; a declining value suggests bearish sentiment dominates.
Option Expiry Date Effect Analysis
Tracks the distribution of notional amounts for options expiring on specific future dates (e.g., today or two weeks ahead). Large expiries can cause price volatility or 'pinning' near strike prices as market makers adjust their delta hedges.
Key data
- USD/CNY Large Trade Strike Range6.55 - 6.77Concentrated strike zone for multiple USD 300 million notional trades over the past 24 hours and week
- USD/KRW Large Trade Notional SizeUSD 60 millionTypical single-trade size for USD CALLS over the past week
- USD/CNY 1-Month Risk Reversal-0.0335Indicates slightly higher implied volatility for USD puts/CNY calls, reflecting mild near-term CNY bearishness
- USD/KRW 1-Month Risk Reversal0.56813Shows higher implied volatility for KRW calls/USD puts, indicating stronger near-term KRW bullish sentiment
Impact & implications
The report suggests that this high-frequency options data reflects institutional investors’ short-term hedging needs and speculative positioning. For USD/CNY, dense strike zones may serve as short-term anchors for exchange rate movements. For USD/KRW, the elevated Risk Reversal implies market expectations or hedging demand for near-term KRW strength. Traders can use breakouts or holds at these key strikes to help gauge short-term FX direction.
What to watch
- Monitor the impact of USD/CNY option expiries in the 6.75–6.80 range on market liquidity
- Track sustained changes in USD/KRW Risk Reversals to confirm shifts in KRW sentiment
- Watch for large notional expiries across major currency pairs over the next two weeks