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A second session of bumper currency.........>

OPTIONS
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.

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