Menu

Search

Menu

Search

FxWirePro: EUR/JPY valuations in sync with 1Y skews, 1y RRs highest among G10 FX space – Bid OTC indications for delta-hedges, directional and aggressive traders

EURJPY PPP and FEER valuations are the yen bear’s arch-enemies, but they apply far more to the USDJPY than to the EURJPY, given that the euro, too, is significantly undervalued on a PPP basis. The PIIE puts a FEER-consistent EURJPY rate at 121. More important perhaps than the valuations, however, is our confidence that the ECB is further along the road to policy normalization than the BOJ.

While please be noted that the bearish neutral risk reversals are still indicating bearish risks in longer tenors, while positively skewed IVs of the 1y tenor signifies the hedgers’ interests in OTM put strikes. These skews signal underlying spot FX to drop below 126 levels. While glance through above nutshell evidencing risk reversals, although these numbers have been neutral, we can understand the highest hedging sentiments for bearish risks of this pair among G10 FX space. Bearish hedging remains intact.

To substantiate this standpoint, if you observe the technical chart of this pair, the major trend has been rising higher upto 61.8% Fibonacci levels from the lows of 109.205 levels but with struggling momentum. The technical momentum indicators have been substantiating overbought pressures in this consolidation phase (refer monthly chart). For more reading, refer our technical section.

Hence, keeping the both OTC and technical factors in mind, it is advisable to initiate below relative value trades.

Sell 6M EURJPY 25D risk-reversal (buy EUR calls - sell EUR puts), delta-hedged for risk-averse traders.

Buy 3M EUR puts/JPY calls vs. sell 3M 28D EUR puts/KRW calls for directional traders.

Buy 3m EURJPY ATM -0.49 delta puts for aggressive bears on hedging grounds.

Currency Strength Index: FxWirePro's hourly EUR spot index is inching towards 49 levels (which is bullish), while hourly JPY spot index was at -47 (bearish) while articulating (at 09:33) GMT. For more details on the index, please refer below weblink:

http://www.fxwirepro.com/currencyindex.

FxWirePro launches Absolute Return Managed Program. For more details, visit: 

http://www.fxwirepro.com/invest

  • ET PRO
  • Market Data

Market-moving news and views, 24 hours a day >

October 19 08:30 UTC Released

HKUnemployment Rate

Actual

2.8 0

Forecast

Previous

2.8 0

October 19 08:30 UTC Released

GBPSNCR, MM GBP

Actual

15.846 Bln GBP

Forecast

Previous

3.091 Bln GBP

January 31 00:00 UTC 376397376397m

ARAnnual Primary Balance*

Actual

Forecast

2016 bln ARS

Previous

Bln AR bln ARS

January 31 00:00 UTC 376397376397m

ARAnnual Primary Balance*

Actual

Forecast

2016 bln ARS

Previous

Bln AR bln ARS

January 22 19:00 UTC 388217388217m

ARTrade Balance

Actual

Forecast

Previous

-1541 %

January 31 00:00 UTC 376397376397m

ARAnnual Primary Balance*

Actual

Forecast

2016 bln ARS

Previous

Bln AR bln ARS

January 22 19:00 UTC 388217388217m

ARTrade Balance

Actual

Forecast

Previous

-1541 %

January 31 00:00 UTC 376397376397m

ARAnnual Primary Balance*

Actual

Forecast

2016 bln ARS

Previous

Bln AR bln ARS

January 31 00:00 UTC 376397376397m

ARAnnual Primary Balance*

Actual

Forecast

2016 bln ARS

Previous

Bln AR bln ARS

January 31 00:00 UTC 376397376397m

ARAnnual Primary Balance*

Actual

Forecast

2016 bln ARS

Previous

Bln AR bln ARS

Close

Welcome to EconoTimes

Sign up for daily updates for the most important
stories unfolding in the global economy.