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OPTIONS: Short-end vols rallying across both DM and EMFX despite the absence of
UK markets so far Monday, with Trump's sabre-rattling toward China trade
prompting a sharp pickup in intraday realised volatility. USD/JPY 1m vols have
been the standout, rising well over 1 vol point for the best session so far
since the currency flash crash in early January. The move in vol today comes
alongside much higher than average currency options volume, with USD/CNY hedging
activity particularly strong (over $10bln in USD/CNY options has changed hands
vs. daily average volume of around $3.5bln).
-In EMFX, USD/TRY vols are the big gainers, adding over 1 point in the 1m
contract as the spot rate showed above 6.00 for the first time since October
-Following the strong session for spot GBP Friday, GBP/USD vols have added to
recent gains, with GBP/USD 3m rising above 7.5 points for the first time since
mid-April. 3m implied vols, however, continue to look under-valued. See MNI
MARKET ANALYSIS: GBP Vols - Too Far, Too Fast? email on Friday for full details.