### POV: UPTICK IN IMPLIED VOLS COULD....>

EURO-SWISS: ### POV: UPTICK IN IMPLIED VOLS COULD PRESAGE EUR/CHF AT 1.20

-Today, EUR/CHF touched Chf1.1881, the highest since the SNB dropped the CHF cap

in Jan'15. While EUR/CHF has risen for two consecutive sessions, the rally pales

in comparison with gains seen as recently as early March or Jul'17.

-The rise in implied volatility this week may signal, as it did in July, further

gains for EUR/CHF. Implied vol rose in Feb, but risk reversals dropped (a result

of markets buying CHF upside protection alongside fall in global equities). The

opposite has been true this week, with EUR/CHF risk reversals and implied vols

rising in tandem - signalling an options market that's becoming increasingly

bullish toward EUR/CHF (today, 1m RRs touched the highest in three months).

-Russian asset repatriation remains a significant risk. Switzerland remains the

number 1 destination for international wealth transfer from Russia, according to

the Russian central bank.

-Of the top 10 most profitable EUR/CHF trading strategies of the past 12 months,

9/10 of them currently have profitable long positions and continue to recommend

this stance.