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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.
Free AccessJP Morgan's latest view on FX 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.
To read the full story
Sign up now for free trial access to this content.
Please enter your details below.
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.