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EURO-DOLLAR: On Thursday's Barclays recommended buying a 3-Month 25-delta put
(spot ref: 1.2185, strike: 1.1975, vol: 7.28%) "taking advantage of historically
low front-end vols and elevated skew."
- Barclays target 1.1739, the 38.2% Fibonacci retracement of the 2014-2016 move
for a cost of 56bp and a reward-to-risk ratio of c.2.5:1, net of upfront cost,
with the aim of the option benefitting from both the increasing moneyness & an
increase in intrinsic value as implied volatility rises with the exit from
narrow range trading.
- Barclays highlight that "while US data has suffered from its now-usual first
quarter seasonal softness, European data has disappointed by more. Consequently,
we have revised lower our expectations for euro area growth this year, but
beyond the first quarter, not US GDP growth. Accentuating that view, we have
pushed back our expectations for the ECB to end QE and bring the depo rate back
to zero from March 2019 to December 2019. Yet, the Fed shows every confidence in
continuing on its above-market path for policy hikes."