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DMFX vols trade mixed in the shorter-end,...>

OPTIONS: DMFX vols trade mixed in the shorter-end, but risk sensitive currencies
continue to see their implied measures tick higher, with spot's break to the
lowest levels since late March in USD/JPY underpinning the risk in 1m vols to
just shy of 7 points and the highest since early February.
-USD/CNY vols have been the most significant mover today. Despite relative calm
returning to USD/CNY spot, there's been a huge move in USD/CNY 1m risk
reversals. The spike today amounts to just shy of 1 vol point, putting the
contract close to the highest levels in favour of CNY puts seen since October
last year. The move in riskies was prompted by the marked uptick in implied
vols, with 1m vols now printing above 5.5 points, the highest since mid-December
last year.
-USD/CNY options volumes are running around 75% ahead of average today and, for
a second consecutive session, there's been particular interest in Cny7.00 call
strikes but Cny6.85 has also been popular.
-Elsewhere, despite failing to touch a fresh cycle high in spot, USD/KRW vols
drove higher for a fifth session and remain on track to erase the YTD decline.
MNI London Bureau | +44 203-865-3809 |
MNI London Bureau | +44 203-865-3809 |

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