Summary of Key Points Core Viewpoint The foreign exchange market in November 2025 experienced a decline in overall trading volume, with the average daily trading volume decreasing month-on-month. The US dollar index fluctuated and depreciated, while the Chinese yuan continued to appreciate, reaching a new high for the year. The market shifted from a net buying to a net selling position, and the volatility of options decreased, indicating short-term appreciation pressure on the yuan. Group 1: Foreign Exchange Market Activity - The average daily trading volume in the interbank foreign exchange market was $191.46 billion, a year-on-year decrease of 2.57% and a month-on-month decrease of 6.69% [2] - The average daily trading volume for the yuan was $146.23 billion, with a slight year-on-year decrease of 5.11% [2] - The foreign currency market showed significant increases in trading activity, while the foreign currency interest rate market saw a decline of over 20% due to external holiday impacts [2] Group 2: Currency Exchange Rates - The US dollar index fluctuated and depreciated, closing at 99.45, down 0.35% from the previous month [3] - The yuan to US dollar exchange rate appreciated, breaking through the 7.12 to 7.08 levels, with the onshore yuan closing at 7.0794, appreciating 0.48% from the previous month [4] - The CFETS index for the yuan against a basket of currencies rose to 97.92, an increase of 0.32% [4] Group 3: Market Positioning and Sentiment - The domestic foreign exchange differential shifted from negative to positive, with an average daily differential of 10.50 basis points by month-end [5] - The average daily net buying of foreign exchange decreased to $7.86 billion, down $3.94 billion from October [5] - The market's herd effect index was 60.77, a decrease of 1.12 points from October, below the historical average of 62.62 [5] Group 4: Options and Volatility - The average daily trading volume of yuan foreign exchange options was $5.44 billion, a month-on-month increase of 3.93% [6] - The implied volatility for the yuan against the US dollar showed a downward trend, with the 1-month ATM implied volatility dropping to 1.68% before rebounding to 2.1% [6] - The 1-year ATM implied volatility decreased from 3.6% to 3.4%, indicating a general decline in market expectations for yuan appreciation [6] Group 5: Interest Rates and Swap Points - The domestic and foreign interest rate differentials remained negative, with the 10-year US Treasury yield fluctuating around 4.0% [7][9] - The 1-year swap points decreased by 9 basis points to -1296 basis points, reflecting a slight downward trend in market pressure [8] - The offshore swap points continued to rise, but the spread between onshore and offshore 1-year swap points narrowed to around 50 basis points, the lowest in three months [8]

Group 1: Market Overview - In October, global financial markets experienced increased volatility due to multiple uncertainties, leading to heightened risk aversion among investors [1] - The average daily trading volume in China's interbank foreign exchange market reached $205.18 billion, showing a month-on-month increase of 6.72% and a year-on-year slight decline of 0.30% [2][3] Group 2: RMB Exchange Rate Trends - The RMB exchange rate rose to a new high for the year in early October but subsequently experienced fluctuations, with the lowest point reaching 7.1433 against the USD [2] - By the end of October, the onshore RMB exchange rate closed at 7.1135, appreciating by 0.07% compared to September [2] Group 3: Foreign Exchange Market Activity - The average daily trading volume for RMB in the foreign exchange market was $152.54 billion, reflecting a year-on-year decline of 5.72% but a month-on-month increase of 6.30% [2] - The foreign exchange market showed active trading in foreign currencies and foreign currency lending, with month-on-month increases exceeding 6% [2] Group 4: RMB Options Trading - RMB foreign exchange options trading remained stable in October, with an average daily transaction volume of $5.23 billion, marking a month-on-month decrease of 9.07% [3] - The implied volatility for RMB/USD options remained low, indicating stable market expectations for short-term RMB exchange rate movements [3] Group 5: Domestic and Offshore Exchange Rate Differences - The domestic foreign exchange differential gradually converged and turned positive by the end of October, with the average daily differential being -29 basis points [4] - As of October 20, the average daily net purchase of foreign exchange by institutions was $1.18 billion, indicating a shift in market sentiment towards net selling by the end of the month [4] Group 6: Market Sentiment and Behavior - The market's herd effect index in October was 61.89, slightly down from September, indicating a weaker herd effect compared to the historical average [5] Group 7: Swap Points and Interest Rate Differentials - Long-term swap points reached a nearly three-year high in October, driven by strong market buying pressure [6][7] - The one-year swap points at the end of October were -1287 basis points, an increase of 35 basis points from September, reflecting ongoing strong buying pressure in the swap market [7]