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This week's JPM FX Options Screener Highlights:

OPTIONS
  • CAD, AUD, PLN, HUF and NZD vs. USD vols are a buy from a beta-to-vol perspective, while CNH, INR, KRW, RUB and TRY are a sell.
  • They add that ZAR, BRL, HUF, PLN, AUD, NZD, CAD, SEK skews offer value based on betas vs. skews cross-sectional analysis.
  • On richness, JPM eye NOK, SEK 1y vols as rich by 2.6, 1.2 vols and CAD, CHF, JPY vols are cheap by 0.9, 0.8, 0.6 vols, respectively.
  • Their the rates model now finds the average 1y G10 FX USD vol as slightly undervalued, by 0.1 vols.
  • They conclude that G4 vols, and especially so GBP, screen as cheap vs. CAD, Scandies, Antipodeans and EM vols. But, NOK vol appears as slightly rich relative to G10 and EM pairs.

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