An inline-with-average session so far for...>

OPTIONS: An inline-with-average session so far for currency options markets,

with higher than average volumes in JPY, GBP and AUD/NZD markets countering

quieter CNY, AUD and KRW options trading. Moves in implied vol markets are more

mixed, but the front end of the curve for most major pairs remains acutely

elevated.

- The GBP/USD risk reversals curve has certainly taken note of the fall in spot,

with o/n risk reversals dropping well over 2 points in favour of put vol and

similar moves are seen across the curve, which has markedly fallen and flattened

over the past week. No surprise then that GBP downside hedging has been favoured

from the off, but interestingly, there's been considerable interest in put

strikes as low as 1.0160 for GBP/USD, which appears to be part of a

1.0160/1.4570 GBP/USD one-year strangle that crossed mid-European morning.