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AUSSIE BONDS

AUCTION PREVIEW: ACGB Nov-24 Supply Due

AUSSIE 3-YEAR TECHS

(Z1) Neutral at Higher Levels

AUSSIE BONDS

Flatter

RATINGS

Italy Upgraded At Fitch, Affirmations Elsewhere

OPTIONS
OPTIONS: JPMorgan's options desk notes:
- AUD, CAD, PLN, HUF, NZD vs. USD are the top five long vol opportunities from a
beta-to-vol perspective. USD calls, especially vs. AUD, NZD, HUF and PLN, look
good value given the positive carry and positive exposure to risk-off factors
USD offers.
- INR, RUB and TRY longs offer a good trade-off between positive carry and
contained sensitivity to global risk factors vs. other EMFX. TRY and RUB skews
look overvalued in the betas vs skews space, whereas ZAR, BRL and AUD skews look
cheap.
- EUR, CAD, JPY and CHF USD-vols look cheap when analyzing 1y FX vols via the
underlying rates vols and correlations. NOK, SEK and GBP now look the most
overvalued vols based on the rates factor.
- Vol of vol premia are wide on G10/EM pairs, and particularly so for GBP/USD,
USD/JPY with the exception of USD/CNH. Long vol/skew/wings trades remain
supported for USD/CNH.