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Solid Demand for AUD Hedges Countering Quieter JPY and CNY Options

OPTIONS

AUD options have been in demand from the off Wednesday, with AUD/USD hedging volumes well ahead of average for this time of day. AUD/NZD hedges have been similarly popular, although to a lesser extent.

In volatility space, front-end vols are a little more subdued (AUD the exception) with no notable breakouts in prices.

AUD activity has been propped by 0.6650 and 0.6850 strike one-month call options trading in size throughout Asia-Pac and European morning hours. This has edged the put/call ratio slightly below 1.00 in Wednesday trade, although considerable interest in 0.7300 puts has balanced this somewhat and pulled the 1m AUD/USD risk reversal contract off the multi-month highs printed earlier this week.

USD/RUB options are also trading well, with a sizeable put spread mid-European morning propping up volumes there. A $200mln 73.25/72.00 one-week put spread traded, with net premium paid of circa $500,000 according to DTCC data.

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