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Hedging Activity Slightly Quieter After Busy Week

OPTIONS

It's been a strong week for currency options markets, with hedging activity reflecting busier spot and FX futures since Monday. Friday morning has been slightly quieter, with lower EUR/USD and USD/JPY activity putting a cap on total notional traded.

CNY hedging, however, has been running higher than average against both the USD and EUR. USD/CNY downside protection has proved popular Friday with 6.50 and 6.65 put strikes seeing decent interest. This is mimicked in EUR/CNY today, with the put/call ratio running at around 3:2 so far today in terms of notional traded.

Vol markets trade heavy in the short-end, with 1m GBP/USD vols inching off multi-month highs printed earlier in the week. GBP vols continue to trade at a decent premium given the November 15th deadline that EU/UK negotiators continue to work toward. Implied vols taking the lead from realised, with 1m historical vols falling to new October lows of 8.9 points today.

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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