Futuro del peso mexicano 2-2

  • UK event risk passes, GBP vols ease, but loses only limited as GBP moves
  • Those long gamma already breaking even after 160 pip range today
  • O/n was 19.0/100 pips and now15.5/81 pips. 1wk 11.5/160 to 10.75/150 pips
  • Tomorrow’s NFP also helping to prop gamma more broadly
  • 1mth vol off from 10.5 to 10.35, still good value on a realised basis
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