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JPMorgan's FX options screener highlights

OPTIONS

CAD, AUD, PLN, HUF and NZD vs. USD vols are a buy from a beta-to-vol perspective, while CNH, INR, GBP, TRY and RUB are a sell.

They add that ZAR, HUF, PLN, BRL, MXN, AUD, NZD, CAD, SEK, NOK skews offer value based on betas vs. skews analysis.

JPM see NOK 1y vol as rich by 1.9 vols; CAD 1y vol as cheap by 2.9 vols. After the latest rise since mid-July, their model now finds the average G10 FX USD vol as overvalued by 1.6 vols.

They conclude that BRL vol remains overvalued vs other G10 and EM vols. EUR, JPY, CHF vols are cheap vs CEEMEA vols.

On GBP, they write that Brexit risk premium, now priced in, puts GBP vols near overvalued territory. KRW vol is cheap vs. CEEMEA, high-beta G10 vols.

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