With the RBA, Fed and now the Bank of.......>

OPTIONS: With the RBA, Fed and now the Bank of Canada pre-empting any

Coronavirus-inspired economic slowdown by slashing their policy rates, implied

vols have moderated across most major markets.

- Front-end vols across most major pairs have fallen over a point since the

beginning of the week and reports suggesting that other major CBs (most notably

the ECB and BoE) could hold fire until their respective meetings have added some

downside pressure.

- Nonetheless, options volumes are still going strong, with the past four

session see total notional traded well above $100bln. Activity in JPY, MXN and

INR markets is particularly high, while AUD, CNY and KRW markets are much

quieter.

- MXN vol hedges proved particularly popular against both USD and EUR, with the

put/call ratio close to even across both pairs. In USD/JPY, however, some of the

larger trades were more directional, with a $250mln 103/106 three-month put

spread trading in late European hours. Y106 puts also drew a lot of focus, with

trades amounting to $1.1bln notional at that strike crossing today.