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OPTIONS: Currency hedging volumes bumping up ahead of average for a third
consecutive session Friday, helped higher by strong trading activity in EUR/USD,
AUD/USD and (again) USD/KRW markets. JPY markets appear to be winding down ahead
of Japan's Golden Week holiday, with USD/JPY activity lower than average so far
Friday. Higher volumes today have been accompanied by a modest pullback in
implied vols after a decent week for realised. Biggest fallers today include
USD/TRY 1m vols (down near 1 point), but GBP/USD 1m implied are also falling
again and nearing cycle lows of 5.99%.
-USD/KRW call options have been among the standout trades of the week, with
USD/KRW risk reversals surging higher across the curve to touch the highest
level (USD/KRW calls over puts) since early December last year. Calls strikes
rolling off at 1,200, 1,165 and 1,160 have been bought all week, but there's
also been material interest in strikes as high as 1,285; a rate spot hasn't
reached since 2009.
-AUD/USD puts have been better bought despite the recovery in spot, with $3 in
put notional traded for every $2 in calls.