With limited room for Euro appreciation and the near certainty of a vol slump in the event of a Macron victory, long delta/short vega strategies such as EUR call flies appeal, and are well-priced in EURUSD and EURCAD.
Higher leverage expressions of Euro strength are [EUR/CCY higher, USD/CCY lower] and [EUR/USD higher, EuroStoxx higher] dual digitals.
EUR-crosses have historically displayed widely varying sensitivities to crash risk in the Euro, with EURHUF, EURPLN, EURAUD and EURNZD all tending to rally during Euro-stress, and EURJPY, EURGBP and EUR/Asia selling off sharply.
Consider buying zero-cost combinations of low delta EUR puts in the latter camp funded with EUR puts in the former as conditional expressions of EUR crash risk.
Deep value is beginning to emerge in long-end (5Y) USD/CHF vol. A steeply inverted forward curve and cheap risk-reversals make OTM USD calls especially appealing. Long/short pairs of USD calls/CHF puts funded with EUR calls/CHF puts are priced at multiyear lows and offer franc view-neutral positive carry.


Global Markets React to Strong U.S. Jobs Data and Rising Yields
Lithium Market Poised for Recovery Amid Supply Cuts and Rising Demand
Stock Futures Dip as Investors Await Key Payrolls Data
Fed May Resume Rate Hikes: BofA Analysts Outline Key Scenarios
UBS Predicts Potential Fed Rate Cut Amid Strong US Economic Data
Mexico's Undervalued Equity Market Offers Long-Term Investment Potential
Gold Prices Fall Amid Rate Jitters; Copper Steady as China Stimulus Eyed
Oil Prices Dip Slightly Amid Focus on Russian Sanctions and U.S. Inflation Data
China’s Growth Faces Structural Challenges Amid Doubts Over Data
Moldova Criticizes Russia Amid Transdniestria Energy Crisis
U.S. Treasury Yields Expected to Decline Amid Cooling Economic Pressures
Moody's Upgrades Argentina's Credit Rating Amid Economic Reforms
Urban studies: Doing research when every city is different
Gold Prices Slide as Rate Cut Prospects Diminish; Copper Gains on China Stimulus Hopes
Geopolitical Shocks That Could Reshape Financial Markets in 2025
Indonesia Surprises Markets with Interest Rate Cut Amid Currency Pressure




