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

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.

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