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OPTIONS: Currency hedging volumes looking to end the week on a positive, with
options volumes well ahead of recent averages. With Tokyo still closed, USD/JPY
volumes remain behind, but bumper activity in EUR/USD, USD/INR and USD/TRY are
more than making up for it. In line with the high option trading activity,
short-end implied vols are ticking higher, with EUR/USD and AUD/USD in focus
(both higher by around 0.25 points), while quieter USD/JPY markets lead vols
-Larger EUR/USD trades so far today have tended to opt for downside protection,
with put strikes as low as $1.10 in firm demand. These trades appear to have
knocked some wind out of the risk reversals curve, with both the 1m and 3m
measure in the red so far Friday.
-The fourth consecutive session of strength for the INR has led options volumes
so far this week. However, it appears markets are opting to take the opportunity
to reload on USD/INR call strikes at lower spot levels, with calls outnumbering
puts by over 5:2 so far Friday. Elsewhere, NOK implieds are running higher
across the curve following this week's plummet in oil prices.