Free Trial
USDCAD TECHS

Impulsive Rally Extends

US TSYS

Late Eurodollar/SOFR/Treasury Option Roundup

EURJPY TECHS

Price Is Below The 50-Day EMA

US

Late Corporate Credit Update

Real-time Actionable Insight

Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.

Free Access
OPTIONS
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.
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com

To read the full story

Why Subscribe to

MarketNews.com

MNI is the leading provider

of news and intelligence specifically for the Global Foreign Exchange and Fixed Income Markets, providing timely, relevant, and critical insight for market professionals and those who want to make informed investment decisions. We offer not simply news, but news analysis, linking breaking news to the effects on capital markets. Our exclusive information and intelligence moves markets.

Our credibility

for delivering mission-critical information has been built over three decades. The quality and experience of MNI's team of analysts and reporters across America, Asia and Europe truly sets us apart. Our Markets team includes former fixed-income specialists, currency traders, economists and strategists, who are able to combine expertise on macro economics, financial markets, and political risk to give a comprehensive and holistic insight on global markets.