Free Trial

JPM's latest thoughts on FX vols: - CAD,....>

OPTIONS
OPTIONS: JPM's latest thoughts on FX vols:
- CAD, AUD, PLN, HUF and NZD vs. USD are the top five long vol opportunities
from a beta-to-vol perspective.
- TRY, RUB, GBP, CNH, INR, KRW, CNH skews look overvalued based in the betas vs
skews space, whereas ZAR, BRL, HUF, AUD and NZD skews look cheap.
- CAD, EUR, AUD and NZD USD-vols look cheap vs. NOK, SEK and GBP vols when
regressing 1y FX vols against the underlying rates vols/correlations. Following
the drop of GBP vol after the election, the explanatory power of the
cross-sectional analysis has greatly improved. The rates model finds the average
G10 FX USD vol cheap by 1.7 vols (2.8 sigma, estimated over 6m).
- JPM's filtering model keeps a heavy short-Gamma bias. In the G10 space, the
model supports buying CAD vol vs EUR, NOK, SEK and CHF vols, and JPY vol vs CHF
vol; in EM, long PLN vs short HUF vol, long SGD vs short KRW vols are supported.
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com
MNI London Bureau | +44 203-865-3809 | edward.hardy@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.