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Currency Hedging Activity Led by EUR, CNY Puts

OPTIONS

Wednesday's session was the busiest for FX options volumes since Sep24, and today's volumes look similarly strong for this time of day. Busier EUR and CNY hedging this morning is leading activity, countering slightly quieter GBP, AUD and JPY markets today after a busier start to the week.

In vol space, front-end implieds are moderating a little in DMFX. Standout is understandably TRY, with 1m vols adding 1.2 points since the CBRT's unchanged rate decision to trade at 19 points.

EUR puts have been better bought throughout the European morning, with 1.17, 1.1620 and 1.1470 put strikes drawing particular focus. EUR vol contracts capturing the ECB decision next week continue to trade at a premium, with 2w implied vol now at the highest since early September.

In USD/CNY, options notional traded is close to double the average for this time of day, with USD/CNY upside protection in firm demand. 6.95 and 7.00 call strikes have traded in size, seeing $370mln and $413mln in interest today as per DTCC data.

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