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JP Morgan's latest view on FX options.......>

OPTIONS
OPTIONS: JP Morgan's latest view on FX options markets:
- Highlights that AUD, CAD, PLN, HUF and NZD vs. USD are the top 5 long
volatility opportunities from a beta-to-vol perspective. 
- CNH, GBP, KRW, TRY and RUB are the 5 USD-pairs where there is least value in
terms of owning volatility from a sensitivity to global risk-factors
perspective.
- The rise in FX vols over past month has generally led to flatter vol
structures for maturities between 3m and 1y. 
- EUR and CAD USD-vols are cheap when analysing 1y vols via the underlying rates
and correlations. GBP is by far the most overvalued vol (by around 2.4 vols)
based on the rates factor, USD/CHF and USD/SEK vols are also modestly
overvalued.
- Short-vol strategies for GBP have started to benefit from the wide vol premia,
catching up since mid-August.
- JPM's model is now increasing allocation to short-Gamma strategies - USD/CNH
and USD/KRW are the ones where current short-vol position is at the lowest.
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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