FxWirePro: AUD/CAD 6m vols on competitive edge over USD/CAD - put switches as a low-cost risk hedge
Oct 19, 2016 12:52 pm UTC| Research & Analysis
AUDCAD 6M vols appear decent buys given their depressed levels (not far from 2014 lows) and the uber flatness of the 3M-6M vol curve. Realized vols are not stellar however in a dollar-centric environment; hence theta...
FxWirePro: Reducing sentiment of Trump presidency factors in MXN vols - Short MXN 3m ATM vols
Oct 18, 2016 13:40 pm UTC| Research & Analysis Commentary
The MXN is likely the most vulnerable currency to changes in the global trade value chains, in particular, if a protectionist wave comes from theUS. The currencies with direct exposure to the US market via exports, or...
Oct 18, 2016 11:21 am UTC| Research & Analysis Central Banks
Since January, the EURUSD has essentially been driven by the SP realized volatility, while US short rates explain it only when the influence of equity volatility is removed. Fedsfears mean higher yields and vulnerable...
Oct 18, 2016 07:32 am UTC| Research & Analysis
The consumer prices rose by 0.2% in the September quarter, in line with our expectations but ahead of the median market forecast for a flat outturn. The Reserve Bank had forecast a 0.1% increase in its August Monetary...
Oct 18, 2016 03:31 am UTC| Research & Analysis
Rising challenges in the Saudi construction sector will lead to rising nonperforming loans (NPLs) and higher provisioning costs for the countrys banks, says Moodys Investors Service in a report published today. Moodys...
Moody's: Japanese banks only marginally affected by negative interest rate policy
Oct 18, 2016 03:20 am UTC| Research & Analysis
Moodys Japan K.K. says that Japanese banks will see only a limited deterioration in their profitability following the introduction of a negative interest rate policy (NIRP) by the Bank of Japan (BOJ) in late January, and...
FxWirePro: EUR/USD forward vols appears to be cheapest among G10 FX pool – Uphold 6m FVAs
Oct 17, 2016 12:47 pm UTC| Research & Analysis Insights & Views
According to current market pricing, EURUSD has the cheapest forward volatility on both the 6m6m and 1y1y tenors (see above histograms). From the vol study, it is reckoned that it seems to be a good entry point to buy...
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