Urban studies: Doing research when every city is different 
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Norges Bank to turn more neutral as well: given the 60% chance of a rate hike in June, as penciled in by the Norges Bank, a more dovish stance at the next May 9 meeting would likely drag NOK swaptions values lower, weighing on USDNOK vol as well.
In the following, we will consider two possible implementations of the RV signal discussed above, one as a pure vol RV trade and one as a directional construct.
The vol spread touched a multi-year low in April as CAD vols sank to lowest since 2014 at a more rapid pace than NOK vols. The spread started to rebound but based on the swaptions – FX vol framework still leaves 3pts of misalignment between the two.
While realized vol spread has started to perform, we prefer to focus on the lingering longer-term risks that have been largely ignored by the markets and should play right into our hands.
Historical P/L time series shows the tight correlation between the vol spread and its returns that translates each vol pt of change in vol spread into 1 vol pt of returns.
Hence, we recommend buying 1Y USDCAD straddle @6.0/6.2 vs sell USDNOK straddle @8.45/8.9. Courtesy: JPM
Currency Strength Index: FxWirePro's hourly CAD spot index is inching towards -30 levels (which is mildly bearish), while hourly USD spot index was at -26 (mildly bearish) while articulating (at 09:40 GMT).
For more details on the index, please refer below weblink: http://www.fxwirepro.com/currencyindex
