FxWirePro: FX options triangles for dollar softness ahead of central banks’ actions in H1’2018
Mar 06, 2018 09:24 am UTC| Research & Analysis Insights & Views
A likely by-product of the loss of USD momentum is a pause or even a modest reversal in USD-correlations that have surged this year due to across-the-board dollar weakness. We do not expect any de-correlation to be very...
FxWirePro: Spotlight on VIX, high beta theme and Vega spreads for triplets
Mar 06, 2018 06:55 am UTC| Research & Analysis Insights & Views
The currency market has been acting as the adjustment factor between countries positioned at different parts of the economic cycle clock. It has been one of the few assets on which carrying long volatility positions has...
FxWirePro: Spotlight on Turkish Lira and USD/TRY derivatives trades
Mar 05, 2018 14:25 pm UTC| Research & Analysis Insights & Views
Turkey published CPI data for February this morning. The market expected continued improvement after a favorable reading in January. However, the headline inflation rate didnt moderate notably, standing at 10.26% after...
FxWirePro: Stay long in well priced Vega NZD, CHF, and SGD
Mar 05, 2018 14:03 pm UTC| Research & Analysis Insights & Views
Long vega priced well in NZD, CHF and SGD: Amid heightened sensitivity of macro markets to US inflation data and increasing discomfort about the twin US deficits FX vols should remain supported. FX vol ownership at belly...
Mar 05, 2018 12:42 pm UTC| Research & Analysis Insights & Views
It was almost to be expected. Following the parliamentary elections, the political situation in Italy seems to be unclear. Even if the results are still unclear the polls currently suggest: The bad outcome for the...
FxWirePro: AUD/CAD bearish trade setup via 6m debit put spread
Mar 05, 2018 11:43 am UTC| Research & Analysis Insights & Views
In this write-up, we emphasize on our medium-term bearish AUDCAD trade, structured as a 6m put spread, is predicated on policy rate and commodity divergence. However, the trade has underperformed to-date in part on a...
FxWirePro: Short resilient sterling trades - Sell GBP/CHF in spot, buy 1Y EUR/GBP vol swap
Mar 05, 2018 08:20 am UTC| Research & Analysis Insights & Views
A tactical short in GBPCHF has been initiated in response to the volatility shock as the UK has the heaviest reliance on short-term funding flows of any major economy (the UKs current account deficit was largely funded by...
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