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After a busier start to the session in......>

OPTIONS
OPTIONS: After a busier start to the session in early Europe, currency hedging
volumes have sagged across the NY crossover, with lower volumes in USD/JPY and
USD/CNY countering better activity in EUR/USD, USD/CHF and USD/ZAR.
-Vol markets are equally mixed. EUR/USD implieds have broken out following the
surge in spot (1m vols now hitting the best levels since early March) with call
vols leading the way and helping tip 1m risk reversals to 18 month highs. This
contrasts with USD/CNH, with the slip in realised vols translating into lower
implieds, which move back to the middle of the recent range.
-Ahead of tomorrow's ECB decision, EUR/USD overnight vols have received a decent
boost, rising to touch 12.5 points and adding a considerable premium when
compared to the April and March meetings, suggesting markets see a far larger
risk of a price swing tomorrow.
-USD/ZAR options have been highly active in recent days on the back of
speculation the central bank could have their mandate changed and embark on QE.
USD/ZAR calls have been favoured, with near $2 in USD/ZAR calls bought for every
$1 in puts so far Wednesday.

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