FxWirePro: EUR/USD 3m3m FVAs to render asymmetric political hedge
Mar 13, 2017 09:09 am UTC| Central Banks Research & Analysis Insights & Views
The European election-distorted EUR/EUR-cross vol curves: The risk premium for the French elections has distorted EUR-and EUR-cross vol surfaces. 3M-1M vol curves have steepened enormously due to the boost to 3M expiries...
Mar 13, 2017 06:59 am UTC| Central Banks Insights & Views Research & Analysis
As expected, theEuropean central bank (ECB)left all benchmark interest rates on hold following the latest Council meeting, with the main refi rate remaining at 0.0% and the deposit rate at -0.40%. According to the...
Mar 13, 2017 03:38 am UTC| Research & Analysis
Moodys Investors Service says that the likely persistence of capital outflows from China (Aa3 negative) over the rest of this year could constrain monetary policy and may lead to a more activist fiscal policy, if the...
FxWirePro: What drives buying cheaper downside Cable volatility and convexity?
Mar 10, 2017 12:39 pm UTC| Research & Analysis Insights & Views
Cable volatility has been extremely directional since 2012, with a strong and stable negative correlation. The Brexit vote in June 2016 initiated a new vol regime (unlike the FX/rates relationship which did not change...
FxWirePro: Red flags for cable and hedging vehicle for risk events
Mar 10, 2017 12:00 pm UTC| Research & Analysis Insights & Views
Cable outlook: Medium-term FX/rates correlation holds again; Fed will hike and MPC wont. Uncertainty is now about the impact of triggering Article 50, not whether or not it happens. 2m vol is undervalued by 2 vols...
FxWirePro: Volatility relative to 10y tails assuming next Fed hike odds
Mar 10, 2017 11:48 am UTC| Central Banks Research & Analysis Insights & Views
Although the March meeting ended last week a roughly 1:4 shot for a hike, a range of FOMC members and the Chair herself pushed it to fully priced by this Thursday. With March fully priced, markets should turn to focus...
Mar 10, 2017 07:43 am UTC| Research & Analysis Insights & Views
Lets also glance on sensitivity tool for 1-3m IV skews would signify the interests of OTM put strikes that would imply hedging sentiments are for downside risks in the underlying spot FX as Fed is most likely to hike...
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Political donations rules are finally in the spotlight – here’s what the government should do