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OPTIONS: Overall currency hedging volumes remain subdued, with total activity
sitting well below average for this time of day. Quieter majors including
EUR/USD, USD/CNY and USD/JPY are behind the decline, countering more active
EUR/GBP, AUD/USD and USD/ZAR pairs. Despite the pullback in volumes, implied
volatility is generally inching higher, with GBP/USD vols once again the
standout. 1m vols have added 0.6 points from the Friday close as markets look
ahead to the contract capturing the 'do or die' Brexit deadline on Oct31.
Reflecting that risk, GBP/USD put vols are outstripping that of calls, resulting
in a lower risk reversals curve in the short-end.
-EUR/GBP volumes have been propped up by large short-expiry call buying, with
0.8925, 0.9015 and 0.9540 strikes taking focus. The trades were placed with a
tight Oct17 expiry, capturing the run-up to the key EU Summit, at which point
markets should have greater clarity on the likelihood of a disruptive No Deal
-Upside protection in USD/ZAR has been better bought, evident in a large
$100/150mln 15.15/15.85 call spread trading in European hours.