FxWirePro: Deploy AUD/NZD vega puts in PRBS on hedging grounds
Jan 20, 2017 10:24 am UTC| Research & Analysis Insights & Views
Please be noted that the implied volatility of at the money contracts of this APAC pair has been inched up at shy above 7% for 3m tenors, while vega instruments of this tenor are signifying the hedgers interests in...
Jan 20, 2017 09:45 am UTC| Research & Analysis
Short volatility structures are appealing given the high cost of implied versus realized vols. Limited loss structures are also preferred. Since August 2015, the historical probability of the USDCNH breaching the knock-out...
Jan 20, 2017 06:12 am UTC| Research & Analysis Insights & Views
The two main risks to our bearish AUD view are that (1) the currency is dragged higher in a more sustained re-rating of the global growth outlookand that (2) better global news and some signs of housing resilience see the...
FxWirePro: How about getting extra leverage in USD/JPY via a global knock-in
Jan 19, 2017 13:33 pm UTC| Research & Analysis
The promise of an inflationary US policy mix impressively propelled the USDJPY to 118. The pullback has been sharp and it is now time to take a step back. Buying regular knock-in calls despite negative skew: A negative...
FxWirePro: GBP cheaper among G10 but Scandis seem more economical over sterling
Jan 19, 2017 12:50 pm UTC| Research & Analysis Insights & Views Commentary
GBP appears to be the cheapest among G10 space on this framework cross-section ally, but still, has room to weaken further relative to its history. GBP has been one of the underperformers within G10 over the past two...
Jan 19, 2017 09:21 am UTC| Central Banks Research & Analysis Insights & Views
AUDUSDs higher IV with negative delta risk reversal can be interpreted as an opportunity for put longs as the market reckons the price has downside potential for large movement in the days to come which is resulting option...
Moody's: Asia bond covenant quality score for Q4 2016 strongest since Q3 2014
Jan 19, 2017 08:46 am UTC| Research & Analysis
Moodys Investors Service says that the average covenant quality score for high-yield bonds in Asia during Q4 2016 was the strongest since Q3 2014. The average covenant quality score for Asian high-yield bonds issued in...
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