Core Viewpoint - The overall operation characteristics of the RMB foreign exchange swap and options market in the first half of 2025 show a rising trend followed by a range-bound fluctuation, with the one-year swap price fluctuating between -2400 to -1900 pips. The actual volatility of the RMB exchange rate has increased, while the implied volatility of at-the-money options has shown a phased trend but remained stable in trading center. In the second half of 2025, the narrowing of the China-US interest rate spread is expected to drive a rebound in the swap curve, while the implied volatility in the RMB options market is likely to remain low [1]. RMB Foreign Exchange Derivatives Market Review RMB Swap Market Review - In the first half of 2025, the RMB foreign exchange swap market experienced an initial upward trend followed by a range-bound fluctuation, with the one-year swap points trading between -2400 to -1900 pips [2]. - The first phase from the beginning of the year to mid-March saw a rapid rise in one-year swap points from -2400 pips to -1900 pips, driven by bearish sentiment towards the US dollar and US Treasury yields, alongside improved international balance of payments and positive expectations for China's economic recovery [3]. - The second phase from late March to the present has seen a gradual decline in upward momentum, with one-year swap points oscillating around -2050 pips, influenced by the US's unexpected tariff and fiscal policy developments [4]. RMB Options Market Review - In the first half of 2025, the actual volatility of the RMB exchange rate increased, with the implied volatility in the RMB options market showing a "pulse" trend but maintaining stability in trading center [5]. - The first quarter saw a moderate trend in implied volatility, with the USD/CNY spot exchange rate fluctuating between 7.17 and 7.35, reflecting a significant appreciation of the RMB [6]. - The second quarter experienced a sharp rise in implied volatility due to increased tariff pressures, with the RMB reaching a historical high of 7.35 against the USD, followed by a decline in volatility as the market stabilized [6]. Outlook for the RMB Foreign Exchange Derivatives Market in the Second Half of 2025 RMB Swap Market Outlook - The RMB swap market is expected to see a narrowing of the China-US interest rate spread, driven by improved economic data and a stable domestic interest rate environment [7]. - The anticipated narrowing of the interest rate spread could lead to a rebound in the swap curve, with theoretical swap points around -1700 pips based on current short-term rates [8]. RMB Options Market Outlook - The RMB is expected to maintain low implied volatility in the second half of 2025, with external factors such as tariff disputes being the primary source of pressure [9]. - The overall improvement in the domestic economic environment is likely to support the RMB, with foreign investment in RMB assets increasing, contributing to a stable exchange rate [10].
2025年上半年人民币外汇衍生品市场回顾与展望
Sou Hu Cai Jing·2025-07-17 02:34