JPMorgan's FX options screener highlights...>

OPTIONS: JPMorgan's FX options screener highlights this week:

- They see PLN, CAD, HUF, AUD and NZD vs. USD as the top 5 long vol

opportunities from a beta-to-vol perspective and that ZAR, HUF, PLN, AUD, NZD,

CAD and SEK skews offer good value.

- JPM see NOK 1y vol as 2.0 vols rich, with GBP/USD also rich; CAD, EUR, CHF,

JPY vols are all below fair value.

- Their rates model now finds the average G10 FX USD vol as overvalued by 1.3

vols. As vols fell from mid-March highs, 3M USD vol premia are now tight or

negative for all G10 and most EM USD-crosses: TRY, INR, CNH, TWD are the four

cases where 3M vol premium is positive.

- JPM write that the normalization of the FX vol market since mid-March implies

fewer dislocations. This leaves NOK, AUD and NZD vol as overvalued vs other G10

and EM vols. CHF vol is rich vs. JPY vol and so is CAD vol vs. EUR.

- In EM, Latam is rich vs CEEMEA and Asian vols. Long HUF vol vs. short KRW is

supported.

- In Asia, KRW vol is no longer particularly rich vs. SGD and CNH vols.