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Free AccessCurrency hedging volumes running below......>
OPTIONS: Currency hedging volumes running below average so far Monday, with
higher volumes in EUR/USD, USD/CAD and NZD/USD countered by low activity in
AUD/USD, USD/CNY and USD/JPY (no surprises there, given the market holidays this
week in Tokyo). Implied vol measures are generally a touch higher in the
short-end across DMFX and EMFX, although Asia-Pac vols are offered with USD/KRW
1m implied, for example, lower by close to 0.5 vol points after running higher
for much of last week.
-USD/CAD options markets are running well ahead of average so far, helping nudge
1m implied vols higher by a third of a point and bouncing off five year lows of
just 4.74 points in the process. Much of the volume surge has been driven by a
large call spread trade, with early Europe seeing a $500mln 1.35/1.3750 call
spread cross with a six month expiry. Position breaks even at around C$1.3530.
-EUR/USD downside exposure has been popular throughout the session so far, with
$2 in put notional trading for every $1 in EUR/USD calls. Put strikes at
$1.1050, $1.11 and $1.1150 have been popular, each amassing around E300mln in
notional so far this morning.
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.