JPM's options screener this week flags......>

OPTIONS: JPM's options screener this week flags that:

- CAD, PLN, AUD, HUF and NZD vs. USD vols are a buy from a beta-to-vol

perspective, while CNH, INR, RUB, KRW and GBP are a sell. They add that ZAR,

HUF, PLN, AUD, NZD, CAD, SEK, NOK skews offer value based on a betas vs skews

cross-sectional analysis.

- Based on the underlying rates vols/correlations within G10, NOK 1y vols are

rich by 4 vols; CAD, EUR, CHF, JPY vols are all below fair value. Their model

now finds the average G10 FX USD vol as overvalued by just 1.1 vols.

- After rising to all-time highs at the peak of the COVID-19 crisis, G10/EM

implied vol of vols tightened sharply over the past few weeks, leading to wide

vol of vol premia (like on USD/JPY, USD/TRY). They add that steady normalization

of FX vol market since mid-March implies more and more dislocations correcting

on a weekly basis. NOK vol remains overvalued vs other G10 and EM vols, while

the richness of AUD, NZD and cheapness of JPY vols has partly corrected. In

EMFX, BRL is rich vs CEEMEA and Asian vols. In Asia, SGD vol is now slightly

overvalued vs. CNH vol.