JPMorgan's FX options screener this week....>

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

- PLN, CAD, HUF, AUD and JPY vols against the USD are a buy in their view, while

CNH, INR, KRW, RUB and GBP are a sell, adding that ZAR, HUF, PLN, AUD, NZD, CAD

and SEK skews offer good value.

- JPM write that within USD/G10 space, NOK, SEK, AUD, NZD 1y vols are rich; CAD,

EUR, CHF, JPY vols are all below fair value. This results in their rates model

finding the average G10 FX USD vol as overvalued by 1.8 vols.

- Still discounting elevated realized vols from March, 3M USD vol premia are now

tight for all G10 and most EM USD-crosses: TRY, CNH, TWD are the sole cases

where 3M vol premium is marginally positive.

- They write that steady normalization of the FX vol market since mid-March

implies more and more dislocations correcting on a weekly basis. JPY vol is

cheap vs EUR vol. NOK, AUD and NZD vol remain overvalued vs other G10 and EM

vols.

- Among EM currencies, Latam is now just modestly rich vs CEEMEA and Asian vols.

In Asia, KRW vol is now slightly overvalued vs. SGD and CNH vols.