Group 1 - The interbank foreign exchange market showed stable trading with an average daily transaction volume of $206.43 billion in July, a year-on-year increase of 9.38% [2] - The US dollar index rebounded from a low level, closing at 100.0654 at the end of the month, reflecting a monthly appreciation of 3.4% [3] - The Chinese yuan experienced fluctuations, initially appreciating before depreciating, closing at 7.1930 at the end of July, a depreciation of 0.38% for the month [4] Group 2 - The domestic foreign exchange spread turned negative, with an average daily spread of -14 basis points, indicating a small deviation between offshore and onshore rates [5] - The demand for buying foreign exchange increased significantly in the latter half of the month, resulting in an average daily net purchase of $810 million, reversing the previous two months' net selling trend [5] - The market sentiment index for trading behavior was recorded at 63.99, slightly above the historical average [5] Group 3 - The implied volatility of foreign exchange options continued to decline, with the 1-month ATM implied volatility dropping to 2.7% [6] - The offshore market's implied volatility mirrored the onshore market's downward trend, with the 1-month ATM implied volatility ending at 2.95% [6] Group 4 - The interest rate differential between China and the US widened slightly, with the 10-year US Treasury yield closing at 4.37% at the end of July [7] - The 1-year swap points reached a new high for the year, closing at -1815 basis points, an increase of 51 basis points from the previous month [7] - The offshore and onshore swap points moved in sync, with the 1-year swap point spread narrowing to -59 basis points by the end of the month [8] Group 5 - The dollar liquidity remained loose, with the domestic dollar interest rates stable throughout the month [9] - The overnight dollar interest rate spread remained negative, influenced by fluctuations in the SOFR, which saw a decline from -17 basis points to -12 basis points by the end of the month [10]
2025年7月银行间外汇市场运行报告
Sou Hu Cai Jing·2025-08-25 03:00