S&T SELL

GS Puzio USDCNH Calls GS Trading Praneet Shah 9 Sep 2026

Sep 9, 20264 pages页

From the report报告摘录Record Yield Gap: US-China 10-yr yield gap widens to record levels, driving capital outflows to US, intensifying geopolitical tensions, and pressuring Chinese asset valuations.

Inside the report报告内文 Verbatim from the original PDF — first pages原版 PDF 开篇原文 · 逐字摘录

GS Puzio - USDCNH Calls GS Trading Praneet Shah 9 Sep 2026 Caitlyn Puzio · Goldman Sachs · Vice President · Trading colour: Praneet Shah Wed 9 Sep 2026, 7:39am ET

$CNH vols on lows/ carry on highs – holding live calls are now a great portfolio hedge:

1. One of the cheapest USD calls in FX and price now at all-time-lows (chart 1)

2. USDCNH vol on lows/ carry on highs (chart 2)

3. USDCNH spot decoupled from 10y US yields (chart 3)

4. 10y US vs China bond yield differential approaching record highs (chart 4)

5. Onshore spot-fixing gap 711pips - wide side of YTD range (chart 5)

Chart 1. 3m ATMS USDCNH Call % Premium (all-time lows)

Chart 2. USDCNH vol on lows / carry on highs

Chart 3. USDCNH spot vs 10y US yields

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