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Currency hedging volumes sitting below......>

OPTIONS
OPTIONS: Currency hedging volumes sitting below average again, with a relatively
busy Asia-Pac session countered by quieter European and early US options
markets. Decent volumes in USD/JPY, USD/KRW and EUR/JPY were offset by quieter
EUR/USD, USD/CNY and AUD/USD markets. Implied vols are generally mixed but the
very short-end of the DMFX vol term structure has bumped higher, with the
EUR/USD 1w implied contract adding close 1.5 points as the contract captures
next Thursday's ECB meeting.
-USD/KRW is one of the standouts, one of the more interesting trades crossing
included a $250mln 1,195/1,205 three-week call spread - a structure that breaks
even on a rise though approx. 1,196 (equal to the multiyear highs printed in
May). The trade was placed as USD/KRW rallied sharply overnight, closing at a
one-month high of 1178.75.
-GBP hedges have also been in demand, with GBP/USD volumes well ahead of recent
averages. GBP/USD put strikes have been popular, although some of the largest
trades have been looking to pick the bottom: an ITM Gbp207mln $1.15/1.21
six-month call spread crossed just ahead of this morning's retail sales.

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