Jul 18, 2016 07:25 am UTC| Research & Analysis Insights & Views
1m ATM IVs are trending more than 14% which is favourable for option holders. As you can glance through the skewness in 1m IVs of NZDUSD, they highlight more probabilities of underlying spot sensitiveness to the ITM...
Jul 15, 2016 12:33 pm UTC| Research & Analysis Insights & Views
The above diagram demonstrates the equal probabilities of gamma effects when you move towards on either direction of OTM or ITM strikes. These gamma values measure the rate of change of the delta with respect to the...
Jul 15, 2016 09:45 am UTC| Research & Analysis Insights & Views
The Chinese economy grew 6.7% YoY in Q2 2016, unchanged from Q1, to bolster the growth in order to achieve 6.5-7.0% growth target, further monetary policy easing is still on the table. The slowdown in M2 growth in recent...
FxWirePro: USD/CNH 1y volatility structurally expensive, Shorting Vega has good risk-reward
Jul 15, 2016 08:52 am UTC| Research & Analysis Insights & Views
Shorting vega and downside has good risk-reward Vega volatility structurally expensive. USD/CNH 1y implied volatility consistently trades at a significant premium above the realised volatility (see above graph). The...
Jul 15, 2016 07:27 am UTC| Research & Analysis Insights & Views
1m ATM IVs are trending more than 11% which is favourable for option holders. As you can glance through the skewness in 1m IVs of AUDUSD, they highlight more probabilities of underlying spot sensitiveness to the OTM...
FxWirePro: EUR/SEK lacklustre IVs lure “CCS” during crayfish party for both speculation and hedging
Jul 14, 2016 13:08 pm UTC| Research & Analysis Insights & Views
We reckon that the major uptrend of EURSEK and the abrupt bear swings could be efficiently tackled by the below option strategy. As shown in the diagram, the ATM IVs of this pair have been anextremely lower side which...
FxWirePro: EUR/USD tactical positioning in options investing – Optimize convexity and volatility
Jul 14, 2016 12:54 pm UTC| Research & Analysis Insights & Views
The implied volatility of ATM contracts for 1M-3M expiries of this the pair is flashing at around 8.4%. While current 1w IVs of ATM contracts of EURUSD crossfor 1W expiries considerably on a higher side (almost at...
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