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AUSSIE BONDS

AUCTION PREVIEW: ACGB Apr '26 Supply Due

KOREA RATES

Bank Of America Sees Rate Hike In October 2021

JGB TECHS

(U1) Fades Off 2021 Highs

OPTIONS
OPTIONS: As has been the case all week, currency hedging volumes sit
lower-than-average for this time of day. EUR/USD options activity, which had
lagged over the past few days, has begun to pick up - likely triggered by the
multi-month lows in the spot rate today. USD/SGD volumes have also surged,
although USD/CNY, AUD/USD and GBP/USD markets are much quieter.
-Implied vol markets are more mixed. EUR/USD vols are unsurprisingly higher,
with the short-end of the term structure edging higher. So far, EUR/USD options
trade has been slightly tilted toward puts, with 1.10, 1.0925 and 1.09 strikes
favoured (although put strikes as low as 1.0715 have also garnered attention).
-Some of the larger trades crossing in the Asia-Pac session were volatility
hedges, with early Asia trade seeing a E225mln 1.1090 straddle crossing due to
roll-off on October 14th. Nonetheless, the downside protection bias has been
typified by some of the put spreads crossing today: 1.0925/1.1025, 1.10/1.11 put
strikes have been favoured.
-SGD's post-industrial production slump has also triggered a wave of USD/SGD
call option buying, with over $3 in calls trading for every $1 in puts today.
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com