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USD Dive Prompts FX Hedging Flurry

OPTIONS
  • Currency options volumes are well ahead of average for this time of day, with this morning's USD weakness helping drive demand for hedging products.
  • EUR/USD, EUR/JPY and USD/JPY notional traded is leading activity so far, with upside EUR protection in vogue and helping tip the front-end of the EUR risk reversals curve to its highest level since end-February.
  • Reflecting this, call option notional traded has soared, with close to $2 in EUR/USD calls trading for every $1 in puts. 1.2050, 1.2150 and 1.2325 call strikes have seen decent demand, with the most notable trades consistent with 1.2150/1.2325 call spreads due to roll off at end-June.

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