FxWirePro: Should you blame BoJ for USD/JPY vol and risk reversal shift?
Jan 11, 2017 11:48 am UTC| Central Banks Research & Analysis Insights & Views
Although the Yen appears under pressure momentarily as BoJ caps nominal yields and risk sentiment holds up, but the move in relative real yields between Japan and the US represents a clear case for a weaker yen. The risk...
Jan 11, 2017 09:47 am UTC| Research & Analysis Insights & Views
Fading Chinese growth and commodity prices remain a major risk for commodity currencies. More specifically, China remains the second destination for NZ exports, just after Australia and before the US. Any slowdown in...
Jan 11, 2017 02:39 am UTC| Research & Analysis
Moodys Japan K.K. says that in 2017 the performance of assets backing outstanding consumer-related Japanese asset-backed securities (ABS) and residential mortgage-backed securities (RMBS) will be stable, with defaults and...
Jan 10, 2017 12:36 pm UTC| Research & Analysis Central Banks
The 1.64% MoM increase in CPI was far above the 0.9% market consensus. Strong FX pass-through and some idiosyncratic factors, including a jump in egg prices, led to a much sharper-than-expected increase in headline CPI...
FxWirePro: How does buying zero cost seagull result in leveraged yields?
Jan 10, 2017 07:57 am UTC| Research & Analysis
As you could see EURJPY 6m implied volatility too elevated, as it is unsupported by both 6m and 1m realized volatilities suggesting a decent risk premium to be monetized. The variance swap recommended above expresses...
FxWirePro: Is EUR/JPY skews mispriced? Vol smile opportunities in EUR/USD and USD/JPY
Jan 10, 2017 07:30 am UTC| Research & Analysis Insights & Views
The volatility smile most often signifies that traders are willing to pay higher implied volatility prices as the strike price grows aggressively out of the money. Among G3 FX volatility space, EURJPY 3m-6m risk...
FxWirePro: What’s buzzing in EUR/JPY IVs - Smart trades to short rich skews
Jan 10, 2017 06:02 am UTC| Research & Analysis Insights & Views
The EURJPY volatility surface is currently offering very attractive shorting opportunities, as ATM volatility is rich and 6m/1y skews are excessively priced. Here, we recommend a couple of trades taking advantage of both...
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