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Free AccessA second session of bumper currency.........>
OPTIONS: A second session of bumper currency options volumes, with USD/CNY
hedges again leading the way. USD/TWD, EUR/JPY and USD/INR activity also sits
well ahead of recent averages. Implied vols have generally come off yesterday's
highs, but remain well elevated following Monday's bump higher. The USD/CNY vol
structure remains inverted, with overnight vols trading at a premium over all
contracts out to 10 years.
-USD/CNY calls remain better bought, with close to $3 bought in calls for every
$1 in puts so far Tuesday. Call spreads remain a very popular trade, with
7.30/7.85 and 7.15/7.30 structures crossing in size throughout the Asia-Pacific
session and the European morning.
-USD/TWD trading sits over twice as high as average for this time of day, with
USD/TWD upside protection in demand. Call strikes at 31.00, 31.50 and 32.00 have
drawn the most interest.
-In G10FX, volatility hedges in USD/JPY have been in demand, with one of the
larger trades crossing consistent with a $250mln 103.50/108.00 strangle rolling
off at the start of September and paying over $1mln for the position.
To read the full story
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.