Currency implied vols across both EM and....>

OPTIONS: Currency implied vols across both EM and DMFX markets are on the front

foot given the pullback in global (and in particular Asia-Pacific) equity

markets. Much focus was paid to the re-opening of Taiwanese equity indices

today, which swiftly shed around 6% and may be a decent indication of how

Chinese mainland markets respond when they eventually re-open.

- Haven currencies have seen short-end vol tenors surge higher, with JPY and CHF

vols the main beneficiaries. Hedging appetite is suitably higher, with

particular demand for TWD, HKD, RUB and CNY positions.

- USD/CNH risk reversals remain near multi-month highs, showing the preference

for downside CNY exposure as spot USD/CNH hovers either side of the much-watched

7.00 level.

- GBP vols are the standout, with 1- and 3-m vols pulling lower as the Bank of

England did a decent job in dissuading markets of any imminent rate cuts from

the MPC. Decent expiry interest south of the $1.31 handle could limit gains in

spot going forward, however, with a slew of $1.30 strikes due to roll off in the

coming two weeks.