FxWirePro: Implied thought on implied vols and trade ideas
Aug 02, 2017 08:36 am UTC| Research & Analysis Insights & Views
A lot of what we had expected has come to fruition so far in 2017, even if we had not expected the sheer magnitude of the depression in equity volatility, which continues to be the single most salient feature of volatility...
FxWirePro: Diagonal Credit Put Spreads for NZD/USD 1m3m skews
Aug 02, 2017 07:50 am UTC| Research & Analysis Insights & Views
After a disappointing GDT auction, attention will shift to the 2Q labor report with consensus looking for +0.7% QoQ employment and 4.8% unemployment (WBC 4.9%). The lack of wage growth is a global phenomenon and so wage...
FxWirePro: NZD/USD bullish and bearish perspectives and swap rates
Aug 02, 2017 07:47 am UTC| Research & Analysis Insights & Views
The spot NZDUSD prices seem to be fragile to correcting further towards 0.7400 for the day. Medium term perspectives: Stretched technical indicators and stretched long positioning argue for a decent downward correction,...
FxWirePro: USD/NOK risk reversals seem worthy than euro crosses
Aug 01, 2017 13:08 pm UTC| Research & Analysis Insights & Views
For those eyeing cheap optionality to protect returns against an abrupt Euro reversal, USDNOK risk reversals are worth keeping an eye on. NOK has been helped by higher oil prices, but HUF, PLN, and even GBP have...
FxWirePro: Dual strong thematic but defensive trade ideas in cross assets via variance swap spreads
Aug 01, 2017 12:52 pm UTC| Research & Analysis Insights & Views
We have suggested two cross-asset variance swap spread trades since the note, and there are important lessons that we have learned in a low-vol environment. As these trades are most likely to be used for carry in a low-vol...
FxWirePro: Cheap valuations available in CEEMEA FX pool
Aug 01, 2017 11:40 am UTC| Research & Analysis Insights & Views
In EM, keep structural long in ILS vs a 50:50 EUR:USD basket and stay short EURCZK. We are bullish the koruna and expect the currency to trend appreciate over the coming months. Long ILS vs a 50:50 EUR:USD basket for a...
FxWirePro: Long delta/short vega in EUR/CHF call flies seems optimized hedge
Aug 01, 2017 11:04 am UTC| Research & Analysis Insights & Views
Please be noted that the OTC VIX for EURCHF has been the highest, but IVs of longer tenors have still been on the lower side, while risk reversals indicate the hedgers interests in the bullish risks. With limited room...
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