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FX Options Analytics: Vols, Risk Reversals, & Pin Risk: 1230 GMT

June 7th, 2011

ATM VOLATILITIES Pair Spot 1w 1m 3m 6m 1y EURUSD 1.4606 (-0.77%) 10.75 (-0.65) 11.2 (-0.1) 11.8 (-0.2) 12.45 (-0.15) 13.05 (-0.15) USDJPY 80.21 (0.05%) 9 (-1.4) 9.9 (-0) 10.5 (+0) 11.45 (-0.05) 12.55 (+0) GBPUSD 1.6395 (-0.43%) 7.7 (-0.9) 8.35 (-0.15) 9.15 (-0.15) 9.95 (-0.15) 10.85 (-0.05) AUDUSD 1.0742 (-1.07%) 11.4 (-1.5) 11.75 (-0.3) [...]

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FX Options Analytics: Retail Positioning: 1230 GMT

June 7th, 2011

RETAIL POSITION RATIOS Long Calls / Short Puts Long Puts / Short Calls EURUSD 46% (-3%) 54% (3%) EURUSD USDJPY 68% (-3%) 32% (3%) USDJPY GBPUSD 58% (-1%) 42% (1%) GBPUSD AUDUSD 42% (-1%) 58% (1%) AUDUSD USDCAD 44% (0%) 56% (0%) USDCAD USDCHF 67% (-1%) 33% (1%) USDCHF EURJPY 72% (0%) 28% (0%) EURJPY EURGBP 57% (+1%) 43% (-1%) EURGBP EURCHF 65% (0%) 35% (0%) EURCHF GOLD 87% (0%) 13% (0%) GOLD SILVER 78% (-2%) [...]

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