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SocGen Suggests Zloty Volatility Bets for Intervention Overshoot

POLAND
  • Recommends buying EUR/PLN 3-month call spread at 1x1.5 with strikes of 4.55/4.6 at an indicative premium of 0.12%
  • Also 3-month EUR/PLN ATM straddle, dynamically delta-hedged, at an indicative offer of 5.6
  • See market testing the central bank's resolve in 1Q, leading to an increase in zloty liquidity that may result in EUR/PLN overshooting
  • Central bank's "looming presence" in the FX market has led to subdued volatility levels, providing attractive entry points for trades
MNI London Bureau | +44 020-3983-7894 | murray.nichol@marketnews.com
MNI London Bureau | +44 020-3983-7894 | murray.nichol@marketnews.com

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