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USD/TWD a Highlight Amid Thinner Currency Options Trade

OPTIONS
  • A healthy session for currency options volumes tracked by the DTCC yesterday, with total notional traded clearing $80bln for the first time since Apr14 thanks to higher-than-average activity in USDCAD, USDCNY and USDMXN.
  • A slightly more lacklustre start Tuesday, although USDTWD is drawing focus thanks to trades consistent with a large 31.00/31.60 call spread and a 28.885/32.02 strangle, both of which crossed in late Asia/early Europe.
  • The intraday bounce in GBP/USD is doing little to deter downside insurance buys, with 1.2050 and 1.2375 put strikes trading in decent size (£201mln and £260mln respectively).
  • Today's NY cut is stacked for EUR/USD, although the bounce in the pair has opened a solid gap with the most sizeable strikes of the day ($1.0930-50(E4.8bln) and $1.0955-75(E2.4bln). Price is within range of E1.7bln notional rolling off at $1.1035-45.

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