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Currency hedging markets off to another.....>

OPTIONS
OPTIONS: Currency hedging markets off to another decent start Wednesday, with
overall activity a little higher than the recent average. JPY, AUD, CAD and SGD
are all seeing above average volumes so far today, although CNY and KRW markets
are a little quieter.
- Implied volatility across short-end DMFX currencies are a touch higher today,
but are still well away from the best levels printed on Monday. Risk reversals
markets, however, hold close to recent extremes as USD/JPY 1m RR again hits the
lowest levels since the Global Financial Crisis.
- No surprise then, that today's USD/JPY put/call ratio has tilted in favour of
downside protection. The bias has been thanks to a slew of longer-term OTM put
strikes in the pair. Mid-European morning, over $800mln notional was waged on
the Y82.50 strikes, paying a premium of $4.5mln for the position that rolls off
on December 10th this year.
- CAD hedging sits well ahead of average for this time of day, with USD/CAD
calls preferred. C$1.40 and C$1.4555 call strikes have proved popular, with 9m
expiries favoured.
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