JPM FX options screener flags: - CAD,.......>

OPTIONS: JPM FX options screener flags:

- CAD, PLN, AUD, HUF and NZD vs. USD vols are a buy from a beta-to-vol

perspective, while CNH, INR, RUB, KRW and GBP are seen as a sell at current

levels.

- JPM add that ZAR, HUF, PLN, AUD, NZD, CAD, SEK, NOK skews offer value based on

a betas vs skews cross-sectional analysis.

- They write that NOK 1y vols are rich by 3.4 points; CAD, EUR, CHF, JPY vols

are all below fair value. After the latest drop, the rates model now finds the

average G10 FX USD vol as overvalued by just 1 point.

- JPM's tactical model for Gamma trading remains firmly in risk-on mode and the

steady normalization of FX vol market since mid-March implies more and more

dislocations correcting on a weekly basis.

- They conclude that NOK vol remains overvalued vs other G10 and EM vols, while

the richness of AUD, NZD, BRL vols and cheapness of JPY vols is now correcting.

In Asia, SGD vol is now just slightly overvalued vs. CNH vol. HUF is modestly

rich vs G10 and EM vols.