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Currency hedging volumes running behind.....>

OPTIONS
OPTIONS: Currency hedging volumes running behind average so far Thursday, but
bright spots unsurprisingly include EUR/USD, USD/CHF and USD/MXN. Implied vols
are generally pulling lower as markets price out ECB event risk, with EUR/USD 1m
vols now lower by around 0.4 points, with similar moves seen in USD/CHF
measures. Asia-Pac vols ran slightly against the trend overnight, with USD/KRW,
USD/TWD and USD/MYR implieds all gaining during the Thursday session.
-EUR options traded since the ECB rate decision have tended to favour EUR/USD
calls, with $1.13 call strikes proving popular alongside $1.1400-40. Larger
trades crossing since Draghi concluded his press conference include EUR 250mln
in $1.1305 two-week straddles as well as a EUR 219mln vanilla call options
rolling off at $1.1400 on July 1st.
-USD/MXN trades have tended toward puts, countering the trend seen over the past
few sessions. Put strikes at 19.30 and 19.57 have been in focus from the off.
USD/MXN vols continue to rise across the curve, with the 1m measure hitting the
highest since early January, helped by USD/MXN risk reversals holding close to
recent cycle highs.

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