FxWirePro: Long EUR/SGD versus short USD/SGD gamma spreads form classic relative value set-up
Aug 02, 2016 12:57 pm UTC| Insights & Views
Long EUR/SGD vs. short USD/SGD gamma spreads form a classic relative value set-up with excellent entry levels, asymmetric payout profile and a long history of return outperformance. EUR vs. SGD implied correlations have...
FxWirePro: USD/BRL hedging cost optimization via calendar spread as quasi-protected short gamma
Aug 02, 2016 12:50 pm UTC| Insights & Views
Realized vols in USD/BRL have been steadily edging lower over the past few weeks but holding stronger near 3.20 levels, and gamma screens rich despite the material 3 vol+ decline in implieds since the Brexit vote 1M...
Aug 02, 2016 12:34 pm UTC| Insights & Views Central Banks
EURSEK has continued higher over the last month, trading a shy below 9.60, which is the highest level seen since last autumn. The growth in Sweden is solid and inflation has risen. Despite the positive trend, the...
Markets bet on another RBA rate cut in early 2017
Aug 02, 2016 12:18 pm UTC| Insights & Views Economy Central Banks
Earlier on Tuesday, the Reserve Bank of Australia (RBA) decided to cut its benchmark interest rate by 25 basis points to a record low level of 1.50 percent. The decision was largely in-line with market expectations. The...
Aug 02, 2016 11:22 am UTC| Research & Analysis Insights & Views Central Banks
Wise to note that 1M USDJPY ATMs fell from 15.0 pre-meeting to 11.5, significantly undershooting the 1-day forward vol prediction (11.85) despite a 1.5% spot decline on the day, which ought to have provided a modicum of...
Aug 02, 2016 09:24 am UTC| Central Banks Insights & Views
Before we begin, lets recall as to how the Bank of England confused the markets in previous MPS. There was awidespread surprise when the MPC chose to leave rates unchanged at the 14 July meeting. But we needed wait no...
Aug 02, 2016 07:38 am UTC| Insights & Views Central Banks
Needless to specify, GBP vols have still been flying with sky rocketed pace no matter what both prior and post-Brexit events, but this time these IVs are also owing to BOEs monetary policy decision, however, the contracts...
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