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Currency hedging markets are particularly...>

OPTIONS
OPTIONS: Currency hedging markets are particularly quiet Thursday, with
Ascension Day on the continent keeping currency trading in general muted.
Volumes across USD/CNY, EUR/USD, AUD/USD and USD/KRW markets, among others, are
well below average, although there remains better activity in USD/JPY and
USD/ZAR. Implied vols are generally following volumes at present, with 1m and 3m
measures mostly falling across DM and EMFX. Asia-Pac FX, however, is a slight
exception, as the fresh multi-year highs in USD/TWD helps drive vols higher.
-USD/JPY options trades today have been relatively evenly split between calls
and puts, with some of the larger trades opting for volatility exposure. One of
the more interesting trades included a $500mln Y105.00/112.00 3m strangle, which
crossed in the late Asia session, shortly followed by a similar trade: a $300mln
Y107.00/111.25 2m strangle about 2 hours later.
-USD/ZAR trades, however, have generally favoured upside exposure in the pair
despite the recovery in spot ZAR today. Call strikes at 16.50 and 17.50 were in
demand across early European trading hours.

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