RMB Strategy Choice: sell EURCNY call

Since May, no currency has provided as much reassurance as the CNY. From the beginning of the month to date, the US Dollar Index has risen from 98 to 99, while USDCNY has dropped nearly 400 points, briefly touching 6.78, its strongest level in three years. The onshore and offshore 1M RR turned negative, and the CFETS RMB Index climbed to 100.47.

The underlying logic supporting the RMB's strength is already a market consensus: export resilience exceeding expectations (cumulative exports up 14.7% YoY in Q1, trade surplus of $349 billion in the first four months), a positive feedback loop from corporates waiting to settle foreign exchange, and the relative safe haven attributes of RMB assets under the US-Iran situation, continuously attracting overseas institutional inflows. This will not be elaborated further here.

This article discusses a practical issue: Now that "low volatility and mild strength" in the CNY is a consensus, how can this view be expressed as a trade with an "attractive risk-reward ratio", instead of simply chasing the spot? From an options perspective, we believe that selling EURCNY calls is a good choice for two main reasons.

1. Higher premium income

For USDCNY, the options market's pricing of the "low volatility and mild strength" trend is very adequate, with short-dated implied volatility continuing to decline and RR pricing turning negative. When expressing a bullish RMB view via selling USDCNY options, the low volatility leads to a less attractive risk-reward. The 1m USDCNY 25D call vol is around 2.0. To express the same view—that CNY will not weaken—the 1m EURCNY 25D call with the same tenor and delta has a much higher implied vol, at about 3.5, so the option premium income is richer.

2. Euro lacks its own strengthening narrative

Eurozone 2026 economic growth expectations have cooled, and higher oil prices are pressuring production. The Citi Economic Surprise Index for the eurozone lags other major economies, creating stagflation sentiment, and the euro lacks endogenous strengthening logic. From intraday moves, it's evident that even when the market receives optimistic US-Iran negotiation news, euro rebounds are very weak. Selling EURCNY calls is essentially a dual bet on "a weak euro + stable RMB", making for relatively higher win probability.

Eurozone Citi Economic Surprise Index has clearly trended downward

As for specific strategy, it's recommended to sell a 1-month 25D EURCNY call, with strike currently around 7.96. The reason for choosing an out-of-the-money option is the higher win rate; and if exercised, it is equivalent to selling EURCNY at 7.96—a level that is acceptable for an account already bullish on CNY. For risk control, a call spread can also be sold.