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Highlights of JPMorgan's Weekly FX Options Screener:

OPTIONS
  • CAD, AUD, PLN, HUF and NZD vs. USD vols are a buy from a beta-to-vol angle, while CNH, INR, KRW, RUB and TRY are a sell- ZAR, BRL, HUF, PLN, AUD, NZD, CAD, SEK skews offer value based on betas vs. skews analysis
  • They write that NOK, SEK 1y vols are rich by 2.5, 1.3 vols; while CAD, CHF, JPY vols are cheap by 1, 1, 0.8 vols, respectively.
  • With no major events in the macro calendar, JPM's rates model now finds the average 1y G10 FX USD vol as overvalued by 0.4 vols.
  • Most dislocations in vol corrected gradually since the Q1-20 vol spike and the fading of US elections / Brexit premia. They write that G4 vols, and especially so GBP, screen as cheap vs. CAD, Scandies, Antipodeans and EM 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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