As was the case yesterday, currency.........>

OPTIONS: As was the case yesterday, currency hedging volumes sit lower than

average for this time of day despite higher activity in GBP options. Hedging for

both GBP/USD and EUR/GBP sits over double recent averages so far Tuesday.

-Interestingly, AUD/JPY markets have been very active thanks to a A$360mln

74.02/75.00 put spread expiring on Sep 10th. The structure breaks even on a move

below around Y74.56.

-Markets remain cautious of further GBP downside, with put demand well exceeding

that of calls so far (over $3 in puts has traded for every $1 in calls).

Volatility bets covering Summer have been popular. One of the larger trades

crossing was consistent with a Gbp100mln $1.19/1.26 strangle rolling off at

end-Sep. Vanilla puts at $1.20, $1.19 and as low as $1.1750 have garnered the

most significant interest.

-Options currently imply around a one in four chance of GBP/USD trading below

the post-referendum lows of $1.1841 by Q4, a probability that's roughly doubled

since Boris Johnson took the position of PM.