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In a note dated yesterday, Credit...........>

OPTIONS
OPTIONS: In a note dated yesterday, Credit Agricole make the case for buying 6m
currency volatility. CA write that while Summer months tend to be associated
with lower FX vols, tensions between the US and China continue to simmer and
they see these tensions escalating in the coming months. As a result, Credit
Agricole watch for signs of risk aversion beyond the likely tranquil June and
July months. 
- They see the upcoming November Presidential election as a growing political
risk that could boost 6m FX vols, which historically repeats across previous
Presidential elections. A second COVID-19 wave and a disorderly Brexit
settlement are also tail risks for renewed volatility.
- CA cite all 6M G10 FX vols bar EUR/CHF as looking cheap relative to their own
history and realised vol, with 3M3M AUD/USD and USD/CAD forward vols looking
relatively cheap. 
- In the short-term, CA see NOK gamma as looking cheap due to the cost of 1W
straddles trading at a significant discount relative to the recent average daily
FX spot range.

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