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EUR/USD Hedges Surge With Pair at Multiyear Highs

OPTIONS

With EUR/USD this week hitting new multi-year highs, hedging via options
has been firmly in demand, with volumes in the pair over double the recent
average for this time of day. USD/JPY, USD/CNY and USD/KRW options
are also more active than usual at the NY crossover.

Implied vol markets are mixed, with front-end USD/JPY and EUR/USD vols
offered while GBP/USD and Asia-Pac implieds see better support.

EUR/USD upside exposure is comfortably the favoured trade so far this
morning, with nearly $2 in calls trading for every $1 in puts. Call
strikes at $1.1750, $1.1800, $1.2000 and $1.2200 have drawn the most
focus today, which is clearly reflected in EUR/USD 3m risk reversals
holding close to multi-month highs.

Mirroring the recent USD weakness, USD/JPY hedges via options today
are favouring USD/JPY downside, with put strikes at Y105.25, Y104.00
and even Y94.90 garnering some focus Tuesday.

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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