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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.

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