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SocGen Recommend Long EUR Vol and Buying Puts

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SocGen recommend taking a long forward vol position in EUR/USD as well as a tactical view on EUR puts:

  • On vol, they write that the current entry point is very attractive for long vol macro hedges with minimal gamma exposure.
  • They recommend buying 2m EUR/USD 1.08 puts with a RKO at 1.04 as well as buying 2m EUR/USD 1.08 puts & selling 1.12 calls.
  • Their rationale sees current EUR/USD ranges as having persisted for an unusually long time. In the current risk-on environment, they think that investors should be mindful of a set of risks that could revive volatility and trigger a transitory USD rebound.

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