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Trend Needle Still Points South

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OPTIONS
OPTIONS: Highlights from this week's JPMorgan FX options screener:
- PLN, CAD, HUF, AUD and NZD vs. USD are the top 5 long vol opportunities.
- AUD, CAD, NZD, NOK, CAD, SEK, ZAR, HUF, PLN and BRL skews offer good value
based on betas vs skews
- Based on the underlying rates, NOK 1y vol is 2.8 vols rich; CAD, EUR, CHF, JPY
vols are below fair value.
- The rates model now finds the average G10 FX USD vol as overvalued by 2.2
vols.
- Their models see NOK vol as overvalued vs other G10 vols; AUD and NZD vols are
also rich vs EUR, JPY, CHF and CAD vols.
- In EM, Latam is rich vs CEEMEA and Asian vols, but the dislocation short MXN /
long BRL vol has corrected.
- Long PLN, HUF vols vs. short KRW is supported. In Asia, KRW vol is rich vs.
SGD and CNH vols.
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com

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