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Put spread buyer


Outright call buyer

OPTIONS: Currency hedging volumes generally sitting slightly softer than average
for this time of day, with USD/JPY and USD/CNY activity in particular very soft.
EUR pairs have been far more active, with EUR/USD and EUR/JPY volumes much
higher than average for this time of day.
- Following the poor PMI data this morning, short-end vols across DMFX are
better bid, with particular upside seen in the GBP curve, with 1m vols higher by
close to 1 point to hit the highest levels since early April (and the original
Brexit deadline) this year. The contract will likely remain supported, with the
tenor already capturing the Brexit-focused EU summit and soon to capture the
Oct31 "Do or die" date also.
-Both EUR/USD upside and downside have traded in size today, with call strikes
layered between 1.1000 and 1.1050 in focus as well as  1.1092, 1.09 and 1.05
vanilla put options.
-In EUR/JPY, one of the more interesting trades to cross was consistent with a
decent downside bet: a E205mln Y115/Y117 put spread rolling off at end-November.
The structure breaks even on a move below roughly 117.90.
MNI London Bureau | +44 203-865-3809 |