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Brexit Effect Evident in GBP 3W Vols

OPTIONS

FX options markets are a touch quieter than average for this time of day, with more muted volumes in CNY, JPY, EUR and AUD hedging markets keeping a lid on activity. There are some hotspots though, with EUR/JPY and USD/CAD seeing outsized interest in particular. Demand for EUR/JPY vanilla puts are driving volumes, with 118.50 and 121.90 strikes eliciting the most interest.

In vol space, front-end implied vols are inching higher, led by EUR/USD and AUD/USD. The Brexit effect is still exerting influence on GBP vols, with 3w contract bid as it captures the 'true' Brexit trade deal deadline of November 15th. 3w is currently crossing at just over 11.5 points, the highest levels in a month.

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