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Extracting FX signals from option flows – BofA

What does option positioning tell us

Bank of America Global Research tracks how option investors have traded so far in 2021.

G4: near-term bullish EUR, bearish JPY and CHF

From
May to July, option investors have significantly more amount of
unexpired calls than puts in EURUSD, their conviction in near-term
strength for EUR (
Exhibit 16). In contrast, option investors are positioned for more USDJPY and USDCHF calls than puts this month,” BofA notes.

G10 “high-beta” pairs: bullish AUD and NZD, moderately bearish CAD

Near-term open interest remain constructive for AUD and NZD (Exhibit 17),
as shown by the amount of unexpired calls versus puts for AUD and NZD
against USD. On the other hand, unexpired contracts are moderately
bearish CAD,” BofA adds.

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