FxWirePro: Prefer USD/MXN gamma neutral calendar skews on carry-to-vols ratio and Banxico hikes
Apr 07, 2017 09:43 am UTC| Central Banks Research & Analysis Insights & Views
Banxico hiked 25bp; we see limited MXN gains but prefer calendar skews at the current juncture. Banxico has hiked its policy rate 25bp to 6.5% and signaled a shift in gears towards a slower pace of tightening...
Fitch: Chinese Banks' Profitability Is Likely to Decline Further
Apr 07, 2017 09:28 am UTC| Research & Analysis
Chinese banks will struggle to avoid further declines in profitability this year if tight market liquidity aimed at slowing further build-up in leverage remains in effect, as it is likely to increase funding costs, Fitch...
Apr 07, 2017 06:54 am UTC| Central Banks Research & Analysis
The Antipodean pair now wants to retest the 1.0800 area, which looks vulnerable to giving way to 1.0750. We expect NZD to fall through this year, reaching 0.63 at year-end. The support to growth from migration will...
FxWirePro: Bullish SEK against EUR covered put and NZD vanilla put
Apr 06, 2017 13:13 pm UTC| Research & Analysis Insights & Views
SEK has been one of the underperformers in G10 this week, weakening in sympathy with EUR. There isnt an immediately identifiable catalyst for the underperformance, although wage negotiations yielded an outcome that was...
Apr 06, 2017 12:51 pm UTC| Research & Analysis Insights & Views
OTC outlook: Please be noted that it seems to be ideal time for the writers of overpriced call options as you could observe the negative shift in risk reversal flashes in 1m tenors, whereas we see neutral changes to the...
FxWirePro: European recovery on stage via FX options ahead of French polls
Apr 06, 2017 10:31 am UTC| Research & Analysis Insights & Views
The European recovery theme has become increasingly mainstream in recent weeks as continued Euro-area growth out-performance intersects with moderating political risks. Last week, we opened an outright long EUR/USD...
Apr 06, 2017 10:17 am UTC| Research & Analysis Insights & Views
One sticking point is that 5Y USD/CHF forwards are 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 miniscule, but the implied ...
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