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FxWirePro: Hunt for Gamma ownership ends in EUR/NZD

Gamma ownership in EUR and USD against EMFX space is rendering lucrative options on central bank meetings (c.f. BoE), and in vega-neutral steepener format along steep vol curves.

EURNZD gamma is still good value on RBNZ’s status; +2M/-6M calendars in EURTRY and USDMXN screen cheap.

EURNZD is the NZD-cross that screens the best value in gamma to benefit from such a turn of events (refer above chart; 2W ATM 8.1 vs. hourly realized vol 1-wk 9.0, 4-wk 9.5) and is worth holding into the event.

Directional plays for a tactical NZD bounce could take the form of either 1M 1.64 EUR put/NZD call one touch (5X gearing off spot ref. 1.6815) or 1M 1.671.65 put spread (3.5X).

High carry and chronic risk-reversal underperformance suggest value in at-expiry digital risk-reversals in EURRUB to benefit from higher oil prices.

Carry/vol ratios in long-dated TRY options are testing 2008’s record highs.

Liquidity permitting, long-dated EURTRY straddles are worth owning against a bullish EM portfolio.

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November 24 15:30 UTC Released

USECRI Weekly Index*

Actual

145.6 %

Forecast

Previous

145.6 %

November 24 14:45 UTC Released

US1st Half-Mth Infl YY*

Actual

54.6 %

Forecast

Previous

54.6 %

November 27 09:00 UTC 28392839m

ITExport Prices*

Actual

Forecast

Previous

111 %

November 27 09:00 UTC 28392839m

ITImport Prices*

Actual

Forecast

Previous

116.1 %

November 27 14:00 UTC 31393139m

MXTrade Balance, $*

Actual

Forecast

Previous

-1.886 Bln USD

November 27 14:00 UTC 31393139m

MXTrade Balance SA*

Actual

Forecast

Previous

-1.559 Bln USD

November 27 15:30 UTC 32293229m

USDallas Fed mfg bus index

Actual

Forecast

Previous

27.6

November 27 21:00 UTC 35593559m

KRBOK Manufacturing BSI*

Actual

Forecast

Previous

87 Bln BRL

November 28 00:00 UTC 37393739m

BRCentral Govt Balance

Actual

Forecast

Previous

-22.725 Bln BRL

November 28 07:00 UTC 41594159m

DEGDP Growth QQ* Advance

Actual

Forecast

Previous

10.7 %

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