FxWirePro: What’s up with materially rich EUR/JPY forward vols?
Jan 13, 2017 12:50 pm UTC| Research & Analysis Insights & Views
Weve already highlighted in our recent write ups on richness in EURJPY skews. For more reading on EURJPY IV skews, please follow below web...
FxWirePro: Is this the quest for relative value in BRL/JPY – USD/BRL vega spreads?
Jan 13, 2017 12:15 pm UTC| Research & Analysis Insights & Views
Weve already highlighted in our recent write ups on the concerted rise in the dollar against currencies of all stripes since US Election Day has elevated USD correlations to near historical highs. Subsequently, the...
Jan 13, 2017 07:39 am UTC| Research & Analysis Insights & Views
Please be noted that even though the risks reversals have shown the shift in hedging sentiments, the IV skews in far month contracts of this APAC pair has been evidencing downside risks still remain intact as OTM puts are...
FxWirePro: MXN and ZAR risk reversals indicates trade protectionism due to US fiscal policy agenda
Jan 13, 2017 07:29 am UTC| Research & Analysis Insights & Views
Please be noted that the constructive dollar on FEDs recent hiking hints + trade protectionism policies you mustve seen that the policy hedge in some commodity driven currency such as CADNOK as an oil-neutral trade...
Jan 12, 2017 12:39 pm UTC| Research & Analysis Insights & Views
The acceleration in global growth towards 3% might even cause us to entertain the notion of adding some outright longs in cyclical currencies. What prevents us doing so is the caveat that these are not normal times...
Jan 12, 2017 12:22 pm UTC| Research & Analysis Insights & Views
The cheapness of CNH risk-reversals relative to implied yields is also plumbing a historical extreme (refer above chart), as gauged by the carry-neutralizing forward delta-hedge ratio (the notional of short USDCNH forward...
Jan 12, 2017 11:42 am UTC| Research & Analysis Insights & Views
The carry trade looks far more lucrative in a non-dollar CNH cross such as EURCNH. The carry/vol setup is comparable to USDCNH (refer above chart), with the added attraction that the cross is that it is better insulated...
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