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Bank Of America Asia FX Volatility - A Window Of Opportunity

ASIA FX

Bank of America note that "while we were proponents of lower Asia FX volatility at the end of 2020, it is harder to make the case from current levels of implied vol. This is especially in light of the emerging gap between Asia FX vols and the volatility of U.S. real rates, with the latter likely to stay high as we get ever closer to a Fed taper. We recognize there is an air pocket through July when FX vol is seasonally low and the Fed is assessing the data, but we argue this is unlikely to be sustained through 3Q from both a seasonal and fundamental perspective."

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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