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Much healthier currency hedging volumes.....>

OPTIONS
OPTIONS: Much healthier currency hedging volumes than the past few days so far
today, with busy GBP/USD, AUD/USD and EUR/CHF markets countering the slightly
quieter sessions for EUR/USD and USD/JPY options. Vol is reflecting this, with
front-end implied across EUR/USD, USD/JPY both on the back foot while AUD/USD,
GBP/USD and USD/CAD vols have been supported.
- GBP/USD options trade has been busy from the off, with a surge in demand for
GBP/USD downside protection largely responsible. The break lower in spot through
$1.2248 has opened further losses for GBP/USD, which now eyes four consecutive
sessions of losses.
- Close to $3 in puts have traded for every $1 in calls so far according to DTCC
data. $1.1950 put strikes have drawn particular focus, but $1.1920 and $1.2160
puts have also traded in size. Much of that volume derived from a sizeable put
spread that crossing early UK hours: $1.1920/1.2160 put spread rolling off at
the end of May. Trade would break-even on a move below circa $1.2105 and the
buyer paid a net premium of around Gbp905,000 for the position.
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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