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Highlights From This Week's JPM FX Options Screener:

OPTIONS
  • According to JPM, AUD, CAD, PLN, HUF and NZD vs. USD vols are a buy while CNH, INR, KRW, TRY and RUB are a sell.
  • They see NOK, SEK 1y vols as rich by 2.7, 1.2 vols, while CAD, CHF, JPY vols are cheap by 0.4, 1.6, 1.3 vols, respectively.
  • Their rates model now finds the average 1y G10 FX USD vol as slightly undervalued, by 0.3 vols.
  • They conclude that most vol dislocations corrected gradually since the Q1-20 vol spike and the fading of US elections/Brexit premia.
  • G4 vols, and especially so GBP, screen as cheap vs. CAD, Scandies, Antipodeans and EM vols.
  • NOK vol appears as slightly rich relative to G10 and EM pairs. Their model supports selling CAD vol vs. EUR, GBP and JPY vols, and selling ZAR vol vs. GBP vol.

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