FxWirePro: Hunt for gamma risk premiums in EUR rates
Apr 21, 2017 12:03 pm UTC| Research & Analysis Insights & Views
The EUR short rates gamma risk premium is likely to start depreciating vs longer expiries early next week unless the French elections disappoint. Buying collars at the EUR front end remains a cheap way to position for...
FxWirePro: Eurozone inflation still lacklustre – Indexed linked and sovereign derivatives
Apr 21, 2017 11:47 am UTC| Research & Analysis Insights & Views
Euro area inflation breakeven has undergone a recent correction, but we like to fade this move in the near term, given the chances of a risk-friendly environment and higher inflation in April. We favor IOTA trades in core...
Apr 21, 2017 10:44 am UTC| Research & Analysis Insights & Views
Do you think GBPUSD is the worst behind us? Are Brexit negotiations better prospects? Prime Minister May surprised the market by calling for a snap general election on 8 June. The possibility of a hard Brexit has...
Apr 21, 2017 10:09 am UTC| Research & Analysis Insights & Views
GBP has performed better over the past month than we had expected. The trade-weighted index looked to be breaking down in March on evidence of a broader economic slowdown but has since rallied 2% on a combination of better...
Apr 21, 2017 06:59 am UTC| Research & Analysis Insights & Views
As the delta risk reversals of euro crosses (especially in EURJPY) have shown a mounting bearish interest as the progressive increase in negative numbers signify the traction for hedging sentiments for further downside...
FxWirePro: Low yielding vols lure long vega in USD/CHF and delta hedges
Apr 20, 2017 13:09 pm UTC| Research & Analysis Insights & Views
One sticking point is that 5Y USDCHF forwards is realizing 1.5-1.8 pts. below 5Y ATMs. This is not a direct impediment to vol buying since gamma contribution to long-expiry option P/Ls is minuscule, but the implied ...
Apr 20, 2017 12:36 pm UTC| Research & Analysis Insights & Views
Crude stocks drew for a second straight week, falling by 1.0 Mb (vs. -1.4 Mb expected). Cushing stocks fell, too, by 0.8 Mb (vs. +0.2 Mb expected). Refinery runs continued to ramp up quickly, and 4w av. runs are 395 kb/d...
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