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OPTIONS: Short-end vols are generally rising Thursday, with the breakout to
fresh cycle lows in the likes of EUR/USD and AUD/USD helping prop up short-end
implieds across DMFX. Similar moves are seen in EM space, with USD/KRW, USD/RUB
and USD/BRL vols also inching higher given recent realised vol in spot.
-This is clearly stimulating options markets, with currency hedging volumes
ahead of average so far Thursday, most notably in USD/KRW, EUR/USD and USD/TWD.
Options trades so far today are largely biased toward USD calls, particularly
against the EUR. Over $3 in EUR/USD put notional has been traded for every $2 in
calls at the NY crossover.
-After months of relative stagnation, USD/CNY options markets appear to be
stirring, with USD/CNY 1m risk reversals rising at the fastest rate of the year
as spot markets near 6.75 and hit the highest rate since mid-February.
-USD/INR options markets have also been highly active, with the the largest
trades of the session so far biased toward calls, with USD/INR call strikes at
73.50, 75.50 and 77.50 drawing particular interest.