There have been some pretty remarkable......>

OPTIONS: There have been some pretty remarkable moves in currency options

markets already today, with currency hedging volumes already holding above what

is an already elevated recent average. The broad and widespread risk-off

sentiment is reflected well in implied volatility, with short-end JPY vols bid

up to levels not seen since the peak of the Global Financial Crisis.

- Risk reversals have suitably re-priced, prompting USD/JPY 1m risk reversals to

hit downside extremes not seen for over 10 years. Perhaps more notably, EUR/USD

risk reversals have extended higher still, hitting EUR-era record highs and,

perhaps, anticipating disappointment from the ECB this week.

- Upside protection via call options in EUR is considerable so far today. $3 in

call options have traded for every $1 in puts so far, with firm appetite for

$1.1550, 1.2125 and 1.2250 call strikes. Call spreads appear to be the favoured

trade to counter the spike in hedging costs since the start of February.