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

OPTIONS
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.
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com
MarketsForeign Exchange Bullets
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com
MarketsForeign Exchange Bullets

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