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FX Options Volume Picks Up at NY Crossover

OPTIONS

Currency hedging volumes picking up nicely into the NY crossover after a sluggish morning. Activity has been led by USD/JPY, USD/CNY and EUR/JPY options, all of which are seeing trading volumes ahead of average for this time of day.

Implied vols are suitably higher across DMFX, with short-end JPY vols the primary beneficiaries, albeit well within recent ranges for now.

JPY hedging has been biased toward JPY upside protection, with close to $2 in USD/JPY puts trading for every $1 in calls so far Wednesday. USD/JPY put strikes at 105.00 and 105.15 have traded in size, with most of the larger structures facing a tight expiry of end-September.

Similar sentiment is seen in EUR/JPY trade today, with total put notional well outweighing that of calls. Exposure below 124.00 and 122.60 has been in demand, with both strikes drawing just shy of $1bln in total notional interest today.

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