This week's JPMorgan FX options screener....>

OPTIONS: This week's JPMorgan FX options screener flags:

- CAD, PLN, HUF, AUD and NZD vs. USD are the top five long vol opportunities

from a beta-to-vol perspective, while ZAR, AUD, CAD, NZD, NOK, CAD, SEK, HUF and

PLN skews still offer good value based on a betas vs skews cross-sectional

analysis.

- Underlying rates vols within G10 show that NOK 1y vol is now 3.2 vols rich;

CAD, EUR, CHF, JPY vols are below fair value. The rates model now finds the

average G10 FX USD vol as overvalued by 2.8 vols.

- Their model sees normalization of the FX vol market since mid-March implying

fewer dislocations. NOK vol is overvalued vs other G10 vols; AUD and NZD vols

are also rich vs EUR, JPY, CHF and CAD vols.

- In EM currencies, Latam is rich vs CEEMEA and Asian vols, but the dislocation

short MXN / long BRL vol has corrected. Long PLN vol vs. short KRW is supported.

- In Asian FX, CNH vol is cheap vs KRW and SGD vols, and so is SGD vol vs. KRW

vol.