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Free AccessHedging volumes slightly lower than.........>
OPTIONS: Hedging volumes slightly lower than recent averages once again
Thursday, with markets appearing to be gearing down for the longer weekend.
Nonetheless, USD/JPY, USD/CNY and USD/TRY markets are busy, but lower volumes in
EUR/USD and USD/KRW in particular are dragging.
-Notional waged behind USD/JPY puts outweighs that of calls so far today, with
the larger trades of the session including what appears to be a series of large
put spreads: 2x $500mln Y104.00/108.75 put spreads expiring on 20th June and 2x
$500mln Y104.00/108.75 put spreads expiring 20th January 2020, making up a bulk
of the put option notional so far Thursday.
-Spot volatility in USD/TRY has clearly triggered a wave of TRY hedging, the
bulk of which are USD/TRY calls. 6.40 and 6.50 USD/TRY call strikes have been
particularly popular so far helping keep USD/TRY 1m risk reversals close to
recent cycle highs.
-Implied vols elsewhere are generally declining among DMFX, with the exception
of GBP/USD 1m vols, which have crept higher (albeit by only 5bps), snapping an
extended losing streak.
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.