August 11, 2022 11:49 GMT
- Currency hedging activity is just ahead of average for this time of day, with EUR/USD options in particular seeing decent interest. Following the US CPI print yesterday, options volumes surged, with DTCC showing over $85bln notional traded yesterday. This was the busiest session for options since August 2nd and House Speaker Pelosi's trip to Taiwan.
- Downside EUR/USD demand has been prevalent across the European morning, with 1.01 and 1.03 put strikes seeing particular interest. Close to $3 in EUR/USD puts have traded for every $2 in calls so far Thursday.
- Activity coincides with the continued pullback in hedging costs, as front-end implied vols continue to drift. The 1m contract is now below 8.5 points for the first time since early June, although may see some support into the tail-end of next week as the contract captures the Sep 21st Fed meeting.