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Decent session so far for FX options........>

OPTIONS
OPTIONS: Decent session so far for FX options trading, with volumes higher than
average for this time of day. USD/JPY, USD/MXN and USD/CAD markets in particular
are highly active, with just USD/CNY hedging seen a little quieter. Implied vols
are almost universally higher, with gains led in Asia-Pac FX as the likes of
KRW, IDR, THB and TWD implied volatility rises to multi-month (and, in the case
of KRW, multi-year) highs.
- USD/JPY hedging has generally favoured downside protection - evident in quick
turnaround in 1m risk reversals after they spiked last week. 111 put strikes
have been popular, with well over $1bln in puts trading due to roll off at that
mark.
- MXN hedging is well ahead of average, with a large structure trading in early
NY consistent with 18.80/19.10 1m put spreads partially funded via selling 19.60
calls.
- Call buying throughout in USD/KRW dominated overnight, with larger structures
consistent with 1,200/1,210 call spreads. The USD/KRW risk reversal curve
continues to flatten aggressively, with front-end contracts well bid.
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com

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