Dealers report sales of EM options spreads rising
NEW YORK - Dealers are seeing a rise in sales of option spreads linked to emerging market (EM) currencies, as investors seek to reduce the cost of gaining options exposure to these currencies.
Spreads linked to USD/BRL and USD/ZAR are garnering the most interest, which raised one-month 25 delta volatility levels by 1.5% to 19% and 0.5% to 22.5%, respectively, in the week up to August 12. Investors have also flocked towards the Turkish lira, with the cost of volatility up 1.7% to 16.4% in the
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