FxWirePro: USD/ZAR Options KOs to tackle elevated skew-to-vol ratio
Apr 25, 2017 13:06 pm UTC| Research & Analysis Insights & Views
The implied volatility of the South African rand is the highest among EMFX space, though not unjustifiably expensive versus realized volatility, which makes any vanilla USDZAR put option expensive. Skew is also...
FxWirePro: How do you keep KRW risk reversals on check? Butterfly spreads in play
Apr 25, 2017 12:39 pm UTC| Research & Analysis Insights & Views
The explosion in KRW risk-reversals in response to geopolitical developments around North Korea has garnered a lot of attention. The 1.5 pt. the spike in 1Y 25D riskies is understandable when risks around a baseline...
Apr 25, 2017 11:41 am UTC| Research & Analysis Insights & Views
GBP vols bounced this week after PM May called a snap general election. 1M ATMs are up 0.5 pts. on the week, while 2M expiries that cover the June 8th election date are 0.7 pts. higher to account for the increased event...
FxWirePro: Two significant questions to strike a chord for long-tenured sterling vols
Apr 25, 2017 10:19 am UTC| Research & Analysis Insights & Views
Prime Minister May surprised the market by calling for a snap general election on 8 June. The possibility of a hard Brexit has already been discounted by the market, but the larger parliamentary majority currently...
Apr 25, 2017 10:19 am UTC| Research & Analysis
The weak rouble and an advantageous oil-linked domestic tax regime, among other factors, will keep Russian integrated oil and gas companies credit quality robust in 2017, says Moodys Investors Service in a report published...
Apr 25, 2017 09:52 am UTC| Research & Analysis
Switzerlands strong economy and institutions, as well as high borrower creditworthiness, will continue to mitigate credit risks to consumer securitisations, says Moodys Investors Service in a report published...
Fitch: Latest Indicators Underscore Resilience of Eurozone Recovery
Apr 25, 2017 09:11 am UTC| Research & Analysis
Latest readings on PMI balances, credit growth and labour market performance underline the resilience of the recovery in the eurozone, says Fitch Ratings. This is one of the standout trends visible in our latest bi-monthly...
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