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GBP, AUD Upside Protection Trades in Size

OPTIONS
  • Turnover in FX options markets is ahead of average for this time of day, with particular interest in CNY, AUD and SGD hedging, per DTCC data.
  • The front-end of the DM FX vol curve has inched higher, with AUD, EUR and CHF vols extending the bounce off the late-April (and pre-payrolls) lows.
  • The breakout in spot GBP has had a muted read-through for vols so far, but demand for GBP/USD upside protection has been firm, with close to $3 in calls trading for every $1 in puts so far today. Call strikes at 1.4125 and as a high as 1.4250 have garnered the most interest.
  • Strength in industrial metals and spot AUD has AUD/USD options volumes at over double the recent average for this time of day. Trades consistent with 0.7890/0.7930 and 0.7940/0.8080 call spreads have been the primary driver, with markets clearly cognizant of upside risks around the late May / early June expiries.
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