Another session of decent volumes for.......>

OPTIONS: Another session of decent volumes for currency hedging, no doubt

triggered by the sharp upticks in intraday volatility since the beginning of the

week. USD/CNY markets remain the busiest, with volumes close to double their

recent averages for this time of day. JPY and CHF options also going well, with

swinging risk sentiment helping drive hedges here.

-For a second session implied vols are generally dropping in the short-end

across DMFX, although the bump higher in the vol term structure seen for most

currencies over the past week is yet to be retraced. LatAm vols remain well bid,

with USD/BRL 1m implieds holding above 12 and the USD/COP contract hitting

mutli-month highs.

-CNY hedgers continue to seek protection against further USD/CNY gains, with

call volume still outstripping puts (as has been the case for much of the week).

Call strikes at 7.34, 7.10 and 7.05 remain in demand. One of the larger

structures crossing in early Europe/late Asia was consistent with a

7.15/7.35/7.55 call ladder rolling off in mid-October.