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OPTIONS: Currency hedging volumes looking pretty well supported at the NY
crossover, with most major pairs turning over more than their recent averages in
hedging trades so far Tuesday (albeit off a low base). Implied vols are more
mixed however after yesterday's edge higher, with DMFX vols retreating as equity
markets look more sanguine - typified by USD/CHF 1m vol's retreat from
yesterday's multi-month highs.
-USD/CNY hedging seems to have picked up alongside the breakout in spot, with
USD/CNH now testing the phase one deal-inspired lows printed mid-December.
Downside USD/CNY hedging has been the focus, with 6.90 and, to a lesser extend,
6.92 put strikes a popular trade.
-AUD/USD options have also garnered interest with volumes over triple recent
averages for this time of day. Interestingly, despite the downside in spot,
markets are hedging against AUD upside on net today, with over $2 in AUD/USD
calls trading for every $1 in puts. Put vol around the 1m expiry remains
elevated as the contracts now capture February 4th's rate decision - market is
now eyeing a more than 50% implied probability of a cut.