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OPTIONS
OPTIONS: Highlights of JPMorgan's FX options screener this week:
- PLN, CAD, HUF, AUD and NZD against USD are the top five long vol opportunities
from a beta-to-vol perspective
- AUD, CAD, NZD, NOK, CAD, SEK, ZAR, HUF, PLN and BRL skews offer good value
based on a betas vs skews
- Within G10, NOK 1y vol is 3.1 points rich while CAD, EUR, CHF, JPY vols are
below fair value. JPM's rates model now finds the average G10 FX USD vol as
overvalued by 2.5 points.
- Normalization of FX vols since mid-March implies fewer dislocations. NOK vol
is overvalued vs G10, AUD and NZD vols are also rich vs EUR, JPY, CHF and CAD
vols.
- In EMFX, LatAm FX is rich vs CEEMEA and Asia. Long PLN, HUF vols vs. short KRW
is supported by their model.
- 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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