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Mimicking the quieter trade in spot and.....>

OPTIONS
OPTIONS: Mimicking the quieter trade in spot and currency futures markets, FX
hedging activity has generally been muted so far Monday, with EUR/USD, USD/JPY
and USD/CNY options volumes in particular seen lower.
- AUD options trade has been much busier, however, reflecting the uptick in the
spot price to levels not seen since early March. Interestingly, AUD/USD downside
protection has been better bought as spot rises, with AUD/USD put notional
outnumbering that of calls by a ratio of around 3:1 per DTCC data.
- $0.63 and $0.64 put strikes have garnered the most attention so far Monday,
with volumes at those strikes supported by a A$150mln diagonal put spread that
crossed during Asia-Pacific hours. Other larger trades today include a sizeable
volatility hedge as a 9m $0.6000/0.6850 strangle traded in early NY.
- In volatility space, reflecting the muted ranges in spot in both Friday's and
today's sessions 1-3m vols are generally lower. Shorter-end one-week tenors are
holding up slightly better, with the EUR/USD contract capturing both ECB and Fed
event risk.
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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