CAD and AUD remain positively correlated
Mar 06, 2015 10:30 am UTC| Commentary
Both AUD and CAD strengthening could be a risky scenario if the AUD appreciates much more than the CAD. But the convexity analysis rather suggests that CAD deviations should be larger even if the AUD is more...
Buy USD/CAD downside – Scenario Analysis
Mar 06, 2015 10:28 am UTC| Commentary
Selling AUD/USD high strikes (calls) is the best implementation given the downside volatility risk.Societe Generale notes the following scenarios: We prefer selling AUD options than CAD options. The other leg of the...
AUD/USD vol is too expensive: Sell high strikes
Mar 06, 2015 10:23 am UTC| Commentary
Beyond the long-term picture of AUD and CAD vol, AUD/USD vol is currently getting tooexpensive. It includes an excessive volatility risk premium, unlike USD/CAD vol,which is trading at a fair level.|Societe Generale notes...
CAD deviates more than AUD, but with less volatility
Mar 06, 2015 10:21 am UTC| Commentary
Unsurprisingly, the AUD and CAD exhibit a strong correlation. Hence, trading a divergence between these currencies expresses a view on temporary adjustments rather than long-term trends. The relationship between them was...
Tactical divergence seen between AUD and CAD
Mar 06, 2015 10:17 am UTC| Commentary
The Australian and Canadian dollars fell spectacularly against the US dollar in H2 14. Bothcurrencies are highly sensitive to commodity prices and have been severely hit by the oil pricecollapse.Societe Generale notes on...
Negative market sentiment on CNY may not abate quickly
Mar 06, 2015 10:13 am UTC| Commentary
The renewed rise in FX deposits highlights the increasing currency pressures and the ongoing monetary dilemma that China is facing.Even though the authorities have kept USDCNY fixings broadly stable and have attempted to...
Jump in FX deposits is reflective of growing expectations of CNY weakness vs USD
Mar 06, 2015 10:11 am UTC| Commentary
The latest banking statistics from the PBoC suggest a further increase in market concerns about the risk of CNY depreciation this year.According to the PBoC press release on banking statistics, total FX deposits in China...