JPM's weekly FX options screener flags: -...>

OPTIONS: JPM's weekly FX options screener flags:

- CAD, PLN, HUF, AUD and NZD vs. USD vols are seen as a buy, while CNH, INR,

KRW, GBP and RUB are a sell.

- JPM write that ZAR, HUF, PLN, AUD, NZD, CAD, SEK and EUR skews offer value

based on a betas vs skews analysis.

- NOK and GBP 1y vols are rich; CAD, EUR, CHF, JPY vols are all below fair

value. Their model finds the average G10 FX USD vol as overvalued by 1.8 vols.

- JPM add that after rising to all-time highs at the peak of the COVID crisis,

implied vol of vol parameters across G10/EM pairs tightened sharply over the

past few weeks, leading to wider vol of vol premia.

- Steady normalization of FX vol market since mid-March implies more and more

dislocations correcting on a weekly basis. JPY vol is cheap vs EUR, CHF vols.

NOK, AUD and NZD vol remain overvalued vs other G10 and EM vols.

- In EM, Latam is now just modestly rich vs CEEMEA and Asian vols. In Asia, SGD

vol is now slightly overvalued vs. KRW and CNH vols.