FxWirePro: GBP/JPY implied vols regime – Positively skewed 2m IVs conducive for OTM put holders
Mar 17, 2017 07:52 am UTC| Research & Analysis
Please be noted that the 2m implied volatilities of GBPJPY are spiking above 10.60% ahead of above-mentioned data events, while positively skewed IVs signifies the hedging interests in OTM put strikes. In spite of...
FxWirePro: GBP/JPY “Diagonal Option Strips” for vol convexity and major data events
Mar 17, 2017 07:47 am UTC| Research & Analysis
Data schedules: In theUK: House of Lords on Brexit bill. Article 50 invoked (mid-end-March). SNP conference Mar17-18. Brexit talks. CPI (Mar 21), retail sales (Mar 23), foreign Gilt flows (Mar 29), PMI (manufacturing...
Moody's changes outlook to stable on 30 Brazilian banks and BM&FBovespa; affirms ratings
Mar 17, 2017 01:18 am UTC| Research & Analysis
Moodys Investors Service has today changed the outlooks to stable, from negative, of certain ratings of 30 Brazilian banks and their affiliates and the Brazilian stock and futures exchange BMFBovespa S.A.. In addition,...
FxWirePro: CNH seems fragile in Q2’2017 - Option strategies on hedging grounds
Mar 15, 2017 12:20 pm UTC| Research & Analysis
We now expect less CNY weakness in 1H 2017 but keep the year-end target at 7.10as renminbi depreciation against USD remains modest this year, even as the market has turned more bullish USD recently. If the PBoC continues...
FxWirePro: Swedish Krona to appreciate but in snail’s pace – Do EUR/SEK bears need "covered put"?
Mar 15, 2017 11:51 am UTC| Central Banks Research & Analysis
Sell a put against existing cash short in EURSEK. Stay short NZDSEK in options The structural case for SEK appreciation remains intact the real effective exchange rate is 10-11% below its long term average despite an...
FxWirePro: Fetch RVs in Scandis crosses – Stay hedged via options to arrest European political risks
Mar 15, 2017 11:24 am UTC| Research & Analysis
There is scope for more concession for political risk in European currencies. EUR still screens near fair value on this framework, indicating that there is room for further weakening if political risks intensify heading...
Mar 15, 2017 11:13 am UTC| Research & Analysis
Please be noted that the neutral IVs in USDCAD are creeping up a tad above 7.5%, the tepid implied volatilities of ATM contracts across all tenors are favorable for option writers. While the risk reversals, for now,...
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