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Hedging Volumes More Muted After Busy Wednesday

OPTIONS
  • The rally and subsequent sell-off in the USD yesterday helped stimulate healthy options volumes, with total notional options traded clearing $90bln, according to DTCC data. This marked the largest FX options volumes in just over a week, for one of the busiest sessions in August for the market.
  • Markets are more muted so far Thursday, with just USD/KRW and USD/CHF seeing more notable trade than running recent averages. Upside protection remains in vogue across USD/CNY, with over $3 in calls trading for every $2 in puts so far Thursday. Call strikes at 7.25, 7.35 and 7.40 have drawn the most interest.
  • Implied vols across CNY continue to ebb off recent highs, with 3m implied edging back below 6 points after touching 6.56 points last week, the highest since mid-March.
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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