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Volatility Hedges Help Drive EUR Options Volumes Ahead of Average

  • Currency options markets saw their best volumes since April 13th yesterday, with total DTCC-traded notional topping $85bln. Activity remains high ahead of the ECB decision, with above-average trade across EURUSD, USDKRW and EURGBP helping prop overall volumes.
  • Most notable trades in EUR/USD are consistent with volatility hedges: two sizeable strangles traded at the early NY crossover: a 1.05/1.15 strangle expiring at end-June, and another 1.0615/1.0800 strangle with a one-year expiry.
  • Outside of those trades, 1.0750 and 1.1000 puts have seen decent interest, with over E1.3bln in notional trading across both strikes this morning.
MNI London Bureau | +44 203-865-3809 |
MNI London Bureau | +44 203-865-3809 |

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