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OPTIONS: Currency hedging volumes bumping above average so far Wednesday, with
strong volumes in AUD/USD, EUR/USD and USD/KRW countering modestly lower
activity in USD/CNY. Short-end vols are generally rising across both DM and EMFX
with the most notable moves in AUD/USD vols (1m back above 7.5 points following
overnight inflation data) and USD/KRW short-end as the spot rate rallied to the
best levels since mid-2017.
-Meanwhile in AUD/USD, 1m risk reversals tilted lower following disappointing
CPI but are yet to hit the lows seen in late March. AUD Put notional outweighs
that of calls at a ratio of 3:2 so far Wednesday, with popular put strikes at
$0.70, $0.6950 and $0.6765 (just above the January flash crash low of $0.6741).
-AUD/USD volatility bets have been in vogue, with some of the larger trades
crossing including a A$409mln $0.6765/0.7430 strangle expiring in January 2020.
Directional trades include a A$250mln $0.6400/0.6950 diagonal put spread
(selling front-leg $0.6950 put expiring 9 July 2019, buying back-leg $0.6400 put
expiring 18 February 2020).