Currency hedging volumes running slightly...>

OPTIONS: Currency hedging volumes running slightly below average but are holding

up reasonably well considering the sporadic holidays across mainland Europe

today. Implied vols are generally higher across the 1m tenor, with AUD/USD,

USD/BRL and USD/TRY the standout gainers (although most are merely recovering

recent falls in the rate over the past fortnight or so).

-EUR/USD options activity has been healthy, with EUR/USD call trades favoured

over puts by a ratio of over 2:1. A series of large call spreads have been the

more interesting trades crossing, with E870mln in 1.1425/1.1575 two-week call

spreads crossing shortly after 0900BST. The trades break even at around $1.1475.

-USD/CNY hedging has also proved popular, with some of the larger trades gearing

for upside exposure in CNY. 6.80/6.85 put spreads traded in size in early

European hours, with the structures rolling off on July 18th.