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...
Mar 10, 2017 07:06 am UTC| Central Banks Research & Analysis Insights & Views
AUDUSDs negative momentum remains strong, the 0.7500 area vulnerable to giving way. All eyes will be on the US payrolls data tonight, markets believing it would take a major disappointment to dent the likelihood of a Fed...
FxWirePro: Hedging CHF portfolio amid lingering anomalies
Mar 09, 2017 09:22 am UTC| Research & Analysis Insights & Views
Stay long CHF vs USD (3-month put spread) and EUR (cash). Keep short a 3-mo strangle in EURCHF against the underlying cash short. Its important to stress we are bullish CHF for domestic, reasons (current account = 10% of...
Mar 09, 2017 04:57 am UTC| Research & Analysis Insights & Views Central Banks
In just a week, markets went from doubting a March rate increase toviewing oneas a sure bet. The central banks top brass engineered the changeby speaking in favor of ahike, culminating in Fed Chair Janet Yellens...
Mar 08, 2017 12:17 pm UTC| Research & Analysis Insights & Views
Cable is the most over-valued G10 currency versus the dollar (refer above chart). Indeed, cable is more expensive versus 2Y rate spreads than at any point in the last five years. Fair-value currently languishes at 1.15,...
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