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Hedging trades among the major currency.....>

OPTIONS
OPTIONS: Hedging trades among the major currency pairs rather subdued today with
the exception of USD/JPY, as trade volumes surge over 40% higher than their
daily average ($10.6bln vs. $7.3bln) and 150% higher than average for this time
of day ($10.6bln vs. $4.2bln). The proximity to the BoJ's rate decision on July
31st and reports last week suggesting the BoJ will debate policy changes helping
drive volumes today.
Trades in USD/JPY today have a put/call ratio of 1.1, but this rises to a much
higher 1.8 for trades with a notional size of $50mln and above. Understandably,
1m implied volatility has been driven higher for 2 consecutive sessions,
touching the highest since May at 8.35 points this morning. All helping
contribute to 1m risk reversals approaching the most negative levels since
volatility-driven equity market meltdown in February.

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