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Highlights from this week's JPMorgan........>

OPTIONS
OPTIONS: Highlights from this week's JPMorgan options screener:
- CAD, PLN, HUF, AUD and JPY vs. USD are the top five long vol opportunities.
ZAR, HUF, PLN, AUD, NZD, CAD and SEK skews offer good value based on a betas vs
skews cross-sectional analysis.
- Based on underlying rates vols/correlations within G10, NOK 1y vol is 2.8 vols
rich; CAD, EUR, CHF, JPY vols are below fair value, with their model now finding
the average G10 FX USD vol as overvalued by 1.8 vols.
- After rising to all-time highs at the peak of the COVID crisis, implied vol of
vol parameters across G10/EM pairs tightened sharply over the past few weeks.
- Normalization of FX vol market since mid-March implies fewer dislocations. NOK
vol is overvalued vs other G10 vols; AUD and NZD vols are also rich vs EUR, JPY,
CHF, CAD and EM vols.
- In EM, Latam is rich vs CEEMEA and Asian vols. Long PLN, HUF vols vs. short
KRW is supported. In Asia, KRW vol is rich vs. SGD and CNH vols.

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