GBP/USD vols the standout across G10 FX.....>

OPTIONS: GBP/USD vols the standout across G10 FX options markets this morning,

with almost the entire vol term structure hitting multi-month highs as Boris

Johnson lays the ground work for suspending parliament to curtail legislation

blocking a No Deal Brexit. Mirroring the activity in futures, GBP hedging

activity has surged against both the USD and EUR, with both pairs seeing options

volumes close to double that normally seen at this time of day. EUR/USD markets

have been quieter, while USD/CNY and USD/JPY are roughly in line with average.

-Interestingly, call notional in GBP/USD has outstripped that for puts at the

midpoint of European trading, with strong interest in call strikes at 1.22, 1.23

and 1.27 largely responsible. One of the largest trades crossing was a

Gbp164mln/Gbp191mln 1.22/1.31 call spread rolling off on October 24th. The

position would break even on a move north of approximately 1.2445.

-Elsewhere, a large volatility hedge in USD/CAD has drawn interest, with trades

crossing consistent with a $150mln 1.2935/1.3675 strangle expiring in late

February 2020.