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OPTIONS: JPM's FX options screener highlights:
- CAD, AUD, PLN, NZD and HUF vs. USD are the top five long vol opportunities
from a beta-to-vol perspective. - TRY, RUB, GBP, CNH, INR, KRW skews look
overvalued, whereas ZAR, BRL, HUF, AUD and NZD skews look cheap.
- USD/CAD vol is by far the cheapest of G10 when regressing 1y FX vols vs. the
underlying rates vols/correlations, whereas scandies vols are overvalued.
- JPM's filtering model keeps a heavy short-Gamma bias, with latest signals at
98% of max allocation for all currencies.
- USD/SGD and USD/MXN are the pairs where current short-vol position is at the
lowest. Both strategies have delivered solid returns in 2019, with benchmark at
+11.9% and filtered at +10.2%, and so far in 2020, with +1.2% for both.
- In G10, JPM's model supports buying CAD vol vs EUR vol; JPY vol vs CHF and EUR
vols; GBP vol vs NOK vol; in EM, long BRL vol vs ZAR and HUF vols; long PLN vol
vs short HUF vol; long SGD vs short KRW vol.