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Overall currency hedging volumes............>

OPTIONS
OPTIONS: Overall currency hedging volumes mirroring the action seen in futures,
with activity slightly lower than average for this time of day. Lower USD/CNY,
USD/JPY and GBP/USD notional currently countering more active EUR/USD and
EUR/GBP pairs at the NY crossover.
- Implied vols generally lower and term structures flatter with the exception of
EUR/USD, which sees the short-end go well bid as contracts eye ECB-induced
volatility tomorrow. EUR/USD overnight vols have rallied to touch the highest
levels of the year Thursday, touching 15 points.
- Some of the larger trades crossing Wednesday have been EUR/USD volatility
hedges, with the NY crossover seeing a E124mln 1.1315 straddle traded, expiring
on 9th October and capturing both the ECB and Fed's next rate decisions.
- Similarly in EUR/GBP, puts have been better bought as the outlook for Brexit
improves. 0.81/0.86 put spreads have drawn focus, with the position trading in
size in Asia-Pac hours with six month expiries (capturing the new 'delayed'
Brexit day on Jan31).

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