FX Hedging Strategy Series

FX Hedging Strategy Series

FxWirePro: Bidding USD/JPY 1m RR and IV skew makes PRBS more productive in hedging ahead of central banks’ monetary policy season

Jul 25, 2016 08:01 am UTC| Central Banks Research & Analysis Insights & Views

The FOMC meeting next week is also likely to stay on script. We do not expect the Fed to use the July FOMC statement to push up market expectations for a September hike. While recent data and the easing in financial...

FX Hedging Strategy Series

FxWirePro: JPY IVs blow out of proportion, disparity between ATM premiums and 1w IVs – Calls seem under-priced ahead of Fed and BoJ

Jul 25, 2016 07:11 am UTC| Central Banks Research & Analysis Insights & Views

Please be noted that the yen currency crosses flash the highest IVs among G20 space (seems quite exaggerated OTC moves), while USDJPY sizeable market pin risks at 105.50 for tomorrows expiries and higher skews for OTM put...

FX Hedging Strategy Series

FxWirePro: USD/JPY likely to extend gains upon testing support at channel base – major bear trend seems conditional on Fed’s decision

Jul 25, 2016 06:06 am UTC| Technicals

Ever since the pair has tested support at channel base both daily and monthly charts, upswings are strengthened, and prices have jumped above DMAs and 7DMA crosses over 21DMA that shows the strength in prevailing...

FX Hedging Strategy Series

FxWirePro: Foreign traders in EUR/JPY to capitalize on long-term RR in option strips for hedging as Draghi sends dovish tone

Jul 22, 2016 14:14 pm UTC| Research & Analysis Insights & Views

In one of the less interesting press conferences of the year, ECB President Mario Draghi focused on the new challenges presented by Brexit but gave very little away in terms of whether action could be needed and what such...

FX Hedging Strategy Series

FxWirePro: Bidding 6m RR and hedging AUD FX risk via long options positions likely to offer fair value

Jul 22, 2016 13:16 pm UTC| Research & Analysis Insights & Views

Please be advised that the hedging sentiments signify the weakness in AUDUSD, as a result, the OTM puts seem relatively costlier than OTM calls. So what could be the alternative..? Are you ready to leave the AUD exposures...

FX Hedging Strategy Series

FxWirePro: Load up shorts in AUD/NZD backspreads to hedge depreciating risks ahead of RBA as IVs indicate competitive edge of option writer

Jul 22, 2016 09:39 am UTC| Research & Analysis Insights & Views

RBA outlook: We add a paid October RBA OIS trade at 1.52%. Australian rates markets are increasingly pricing in a weak Q2 CPI result next week. While our expectation is for a low underlying CPI print (ANZ: 0.4% q/q,...

FX Hedging Strategy Series

FxWirePro: AUD/NZD disparity between option premiums and 1w IVs signals more shorts in hedging strategies

Jul 22, 2016 07:24 am UTC| Research & Analysis Insights & Views

Please be noted that the 1w ATM premiums are trading 30.8%% more than NPV, while implied volatility of these ATM 1W contracts are just creeping above at 9.4%. Hence, dont you consider this as a considerable disparity...