Shorter gamma in yen and commodity crosses post-election – Deutsche Bank

Research Team at Deutsche Bank, notes that the perceived market exposure was net shorter in both the yen and commodity crosses post the US election. 

Key Quotes

“Topside gamma longs have been replaced by shorts across all three yen crosses, whilst shorts have been trimmed below spot in USD/JPY. In the commodity crosses, longs have been replaced by shorts, giving rise to moderately short pocket from -2% to -5% of spot in AUD/USD and from -5% to +2% of spot in NZD/USD.  In USD/CAD, downside shorts have been neutralized but shorts have been added above spot. Mid-longs have been extended in GBP/USD. In the euro crosses, downside shorts have been trimmed in EUR/USD. By contrast, longs have been added to the topside in EUR/CHF and EUR/SEK, and around spot in EUR/NOK.” 

“In USD/Asia, shorts have been added above spot in USD/SGD, USD/KRW and USD/INR, while mid-longs have been neutralized in USD/MYR and USD/PHP. In CEEMEA, shorts have been added to both USD/ZAR and USD/RUB but pared EUR/PLN and USD/TRY.”