Decent currency hedging volumes crossing....>

OPTIONS: Decent currency hedging volumes crossing so far, although not close to

the levels of activity seen early last week. Most active pairs today include

USD/JPY, USD/CNY and EUR/CHF, with the likes of EUR/USD and AUD/USD more muted

than in recent sessions. Implied vols are generally lower on the day, which

comes as no surprise as most EMFX and DMFX vol contracts posted decent gains

yesterday. USD/JPY 1m implieds for example still sit just a below the

multi-month highs printed Monday at 8.5850.

-Risk aversion is clearly still evident, with USD/JPY put strikes preferred ($3

in puts have traded for every $2 in calls so far Tuesday). The Y105, l03.50 and

Y103.00 levels have taken the most interest, although Y94.50 puts have traded in

decent size also. One of the more interesting structures crossing Tuesday

includes trades consistent with a $200mln Y102.00/104.00 put spread rolling off

on September 6th. The trades breaks even on a move below approximately Y103.65.

-Similarly, EUR/CHF options volumes have also surged, thanks to a series of

trades consistent with 1.0750/1.0875 and 1.0725/1.0850 two-week put spreads.