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OPTIONS: Implied vols across DMFX sit generally higher (but only just) across
short-end tenors, with the largest moves seen in the AUD/USD and USD/CAD 1m
contracts. Overall hedging volumes sit slightly lower than recent averages, with
quieter USD/JPY, GBP/USD and EUR/GBP markets supressing activity. EUR/USD,
AUD/JPY and USD/CAD markets are bucking the trend somewhat, with total options
-USD/CNY short-end vols have bumped higher Wednesday, with tenors out to 1m
seeing the most notable gains (although all these measures remain lower since
early last week) as markets anticipate a further deterioration in hopes of a
'phase one' trade deal being struck between the US and China before Christmas.
Nonetheless, CNY upside exposure remains popular, with today's hedging flows
seeing over $2 in USD/CNY puts trading for each $1 in calls. 7.01 and 6.95 put
strikes have drawn particular focus.
-Upside hedge demand in EUR/USD has been reflected in the buoyant risk reversals
curve this week (3m contract hit 15 month highs today) and today's session is no
different. 1.1055 and 1.11 call strikes have been in focus.