本报告为野村全球外汇策略团队编制的全球外汇期权资金流向跟踪报告。报告统计并分析过去24小时及过去一周主要货币对(英镑/美元、美元/日元、欧元/美元、澳元/美元、美元/加元、美元/瑞郎、欧元/日元、欧元/英镑等)的看涨与看跌期权成交量,按delta区间(0-0.15至0.75-1)和到期期限分档,并以z-score对成交量热度进行颜色标识(基于6个月窗口),区分期限小于12个月的期权交易。报告同时列示近24小时及近一周金额最大的单笔期权交易(按名义金额,单笔上限约3亿美元)、未来两周值得关注的期权到期行权价分布,以及25天(25D)风险逆转水平。数据显示英镑/美元、美元/日元等货币对交易活跃,美元/日元看跌期权成交显著;1个月与3个月25D风险逆转分别约为-2.50与-2.00。该报告为数据跟踪型工具,不含明确投资评级或交易建议。
This report is Nomura's Global FX Strategy tracking note on global FX options flows. It presents the total volume of calls and puts traded over the past 24 hours and the past week for major currency pairs (GBP/USD, USD/JPY, EUR/USD, AUD/USD, USD/CAD, USD/CHF, EUR/JPY, EUR/GBP, EUR/SEK, EUR/NOK, NZD/USD, AUD/NZD, AUD/JPY, GBP/JPY and EUR/CHF), bucketed by delta (0-0.15 to 0.75-1) and by expiry, with cells colour-coded by the z-score of daily/weekly volume over a 6m window, for all options with maturity under 12 months. The report also lists the top trades over the past 24h and 1 week by USD notional (individual trades capped at roughly USD300mn), notable expiries over the next two weeks aggregated by strike, and 25-delta risk reversals. It shows active trading in pairs such as GBP/USD and USD/JPY, with notable USD/JPY put activity, and 1m and 3m 25D risk reversals at about -2.50 and -2.00 respectively. It is a data-tracking tool and provides no explicit rating or trading recommendation.