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Massive Option related volatility

Written by Sam Coxhead on March 17th, 2011.      0 comments

10:55 AM (NZT) There has just been some incredibly quick and violent price action in the FX markets.
 
The USD/JPY paused before going through record lows set in 1995 in the aftermath of the Kobe EQ. Going though this level has seen massive Option related stop loss buying of YEN.  This  has spread through the markets and seen most currencies well lower against the USD with the NZD particularly hard hit, which is most probably a function of the low levels of liquidity in the NZD.
 
Markets will remain thin and volatile on the back of this no doubt. The currencies have bounced off the extremes at this stage, and it would be not surprising if the bounce continued.
 
    Last 24 hours trade
  Current level Low High
NZD/USD 0.7185 0.7127 0.7358
AUD/USD 0.9783 0.9737 0.9963
NZD/AUD 0.7348 0.7340 0.7425
AUD/NZD 1.3609 1.3468 1.3624
NZD/GBP 0.4491 0.4462 0.4570
NZD/EUR 0.5168 0.5142 0.5267
NZD/JPY 56.70 54.75 54.75
NZD/CAD 0.7150 0.7081 0.7252
 

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