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JPMorgan's current thoughts on FX...........>

OPTIONS
OPTIONS: JPMorgan's current thoughts on FX options:
- AUD, CAD, PLN, HUF, NZD are the top five long vol opportunities from a
beta-to-vol perspective. 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
(by around 2.4 vols) based on the rates factor, USD/SEK vol is also modestly
rich.
- Their model is increasing sharply allocation to FX short-Gamma strategies: the
average signal across USD-crosses is now at 94% of the max allocation, well
above the 57% value reached on 16 August. Across the monitored pairs, USD/CNH,
USD/KRW, USD/PLN and USD/BRL are the ones where current short-vol position is at
the lowest (between 65% and 68% of the maximum allocation).

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