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JPMorgan on FX vol: - AUD, CAD, PLN, HUF....>

OPTIONS
OPTIONS: JPMorgan on FX vol:
- AUD, CAD, PLN, HUF and NZD vs. USD are the top five long vol opportunities
from a beta-to-vol perspective.
- At the bottom of the table, CNH, GBP, KRW, TRY and RUB are the five USD-pairs
where there is least value in terms of owning vol from a sensitivity to global
risk-factors perspective.
- EUR, JPY and CAD USD-vols are cheap when analyzing 1y FX vols via the
underlying rates vols and correlations.
- GBP is by far the most overvalued vol based on the rates factor only, USD/SEK
vol is also modestly overvalued. Vol premium on cable is at the moment
significant, above 4 vols wide for the 3M maturity.
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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