
FxWirePro: Short EM vol risk in CNH options – Calendar option structures
May 19, 2017 13:15 pm UTC| Research & Analysis Insights & Views
A steeply upward sloping CNH vol curve in the 3M-1Y segment motivates forward vol selling at a substantial premium to spot ATM vol. The steepness of the vol curve is substantial for the level of base vols and worth milking...

FxWirePro: Call for “Diagonal Credit Call Spread” to optimally hedge EUR/PLN risks on dovish NBP
May 19, 2017 12:28 pm UTC| Research & Analysis Insights & Views
Despite strong manufacturing growth across most of the CEE, inflationary pressures are not emerging yet. Most of the headline CPI acceleration we have witnessed has been driven by large commodity price swings acting on top...

May 19, 2017 12:01 pm UTC| Research & Analysis Insights & Views
In this write up we run you through writing exorbitant calls in collar spreads for cautious bears. Before that lets have a glance through the neutral IVs in USDCAD that are creeping up a tad below 7-7.5% across all...

Malaysia’s gross domestic product beats expectations in Q1, driven by strong domestic demand
May 19, 2017 11:09 am UTC| Insights & Views Economy Central Banks
According to data released by Malaysias Department of Statistics, Malaysias gross domestic product (GDP) grew well beyond expectations in the first three months of 2017, powered by the manufacturing and services sectors....
FxWirePro: Can Canadian CPI be a booster for USD/CAD upside forecasts?
May 19, 2017 07:56 am UTC| Economy Central Banks Insights & Views
Today Canadian CPI numbers are scheduled to be announced. Clearly, the Canadian economy was only able to recover from the collapse of the oil price in 2014/15 as well as it did because the export industries outside the...

May 19, 2017 07:04 am UTC| Research & Analysis Insights & Views
The bearish CADJPY scenario below 79 driven by: 1) The US moves ahead on border adjustments or NAFTA negotiations turn sour; 2) US-Canada trade negotiations turn acute and negative with a proliferation of...
FxWirePro: EUR/JPY and EUR/USD option hedging perspectives – Bid vol swaps and FVAs
May 19, 2017 06:33 am UTC| Research & Analysis Insights & Views
Although you could see recent spikes in IVs in euro crosses, a spinoff of the vicious de-pricing of French election tail risk after the victory of Macron is that back-end (1Y2Y) EURUSD and EURJPY vols have crashed to near...