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OPTIONS: High Beta, Haven Hedging Dominate Option Flows

OPTIONS
  • Monday's FX vol spike helped trigger option flows of north of $160bln for the first time in over three months, via DTCC data - with JPY, EUR, CHF and EUR/JPY hedges dominating proceedings. 
  • Options activity is similarly busy so far today, with trade in havens and high beta currencies seeing the most interest: JPY, GBP and CHF volumes are well ahead of average for this time of day. 
  • GBP/USD downside insurance remains in demand, typified by trades consistent with a 2x1 1.21/1.24 put spread trading at the NY crossover. Position rolls off in early December, capturing both the Sept and Nov BoE decisions, and breaking-even on a move below ~1.2390 in spot at expiry.
  • Amid frenetic vol in JPY markets, upside in USD/JPY via ITM call buying has proved popular, evident in the put/call ratio hitting ~0.6 when capturing both Monday and Tuesday trade. Call options expiring between 142.50-142.60 saw particular interest, with $4.7bln notional trading across those strikes so far this week. 

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