
Sep 07, 2017 07:45 am UTC| Central Banks Research & Analysis Insights & Views
The Bank of Canada today hiked its interest rate by 25 bp to 1.00%. This took the market by surprise CAD rallied sharply with USDCAD falling below 1.22. Since May, CAD has appreciated by more than 12% against USD. We fear...

Sep 07, 2017 07:30 am UTC| Research & Analysis Insights & Views
We came across the implied volatility of ATM contracts of USDJPY across all tenors are shrinking lower, just shy above 9.5%, while risk reversals have been bearish neutral. The rationale is that any abrupt upswings...
Sep 06, 2017 14:47 pm UTC| Central Banks Research & Analysis Insights & Views
We maintain our bullish position in TRY but vols have been jerky, now partially diversified with OW RUB. CBRT monetary policy will likely remain cautious as central bank concerns over sticky inflation expectations grow,...

FxWirePro: Time to fade CNH strength? Bid 3m vols and deploy USD/CNH OTM call strike
Sep 06, 2017 13:16 pm UTC| Central Banks Research & Analysis Insights & Views
Why doesnt PBoC fix a neutral USDCNY rate? It is comprehensible that the PBoC intended to guide its currency stronger when everyone expected to see a rapid CNY depreciation, which was the idea behind the counter-cyclical...
FxWirePro: USD/TWD knock-out call spreads to buy potential topside and sell exhaustive exposures
Sep 06, 2017 12:44 pm UTC| Research & Analysis Insights & Views
USDTWD hasnt been able to sustain below 30 (intra-day low of 29.975) and CBC intervention should limit the downside, while volatility and skew are low. We find a downside knock-out to cheapen a USDTWD call is...

FxWirePro: USD/CAD knock-in options for 1m well-proportioned IV skews to arrest bearish risks
Sep 06, 2017 09:46 am UTC| Central Banks Research & Analysis Insights & Views
The Bank of Canada has been signaling an imminent rate hike, if not in the July meeting then in September, and this is now priced in. The BoC is giving greater prominence to financial stability concerns stemming from high...

Sep 06, 2017 08:11 am UTC| Central Banks Research & Analysis Insights & Views
The key driving force of loonie remains the relative priced pace of policy normalization. The conjecture behind a partial retracement higher in USDCAD is the expectation that relative monetary policy pricing will converge...