Some really stellar currency hedging........>

OPTIONS: Some really stellar currency hedging volumes so far Thursday with most

DM and EM FX pairs all seeing activity well ahead of average for this time of

day. Markets currently look on track to top the volumes seen on February 13th,

which was the busiest session of 2020 so far. Suitably, implied vols have been

marked higher, led by JPY crosses in which the 1- and 3-m contracts are nearing

multi-month highs.

- USD/JPY options are understandably drawing a lot of focus, with upside hedging

clearly the trade favoured as the risk reversals curve bumps sharply in favour

of calls. 1m riskie today has printed the best levels since early 2017.

- Upside protection in the pair has traded in size throughout the Asia session

and European morning, with large call spreads with a tight (some just a two and

a half week) expiry particularly popular.

- 112.00 and 112.50 call strikes have seen considerable interest, but options

rolling off at 113.25/50 and as high as 119.80 have also crossed. One of the

largest trades crossing in European hours was a 109.25/113.95 strangle eyeing a

three-week expiry.