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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.
MNI London Bureau | +44 203-865-3809 |