
Nov 07, 2016 15:00 pm UTC| Central Banks Research & Analysis
It does come as a surprise that - contrary to other risk events such as the Brexit referendum etc. - the SNB does not create a buffer of CHF weakness which would prevent the franc from appreciating excessively in the case...

FxWirePro: Excessive yen skew premium to generate gap between EUR/USD and EUR/JPY
Nov 07, 2016 12:07 pm UTC| Research & Analysis
The excessive yen skew premium Yen calls are in high demand for all crosses (see above graph) as the market is behaving in a risk-off way. As we wrote here and here, the yen probably met an inflexion point after months of...

FxWirePro: AUD/NZD reverse ratio spread to magnify yields in mounting bearish environment
Nov 07, 2016 08:13 am UTC| Research & Analysis
AUDNZD in short run: The corrective declines have so far retraced over 50% of the Sep/Oct rally. It has scope to extend this retracement to 62% or 1.0440. 10D at the money volatilities of 50% delta calls are just shy...

Nov 07, 2016 08:10 am UTC| Research & Analysis
EUR/USD and yen options at each end of the G10 skew. The revived US election risk created an unusual pattern seeing a weaker dollar combined with higher FX volatility, creating opportunities in skew space. The US...

Nov 04, 2016 12:42 pm UTC| Central Banks Research & Analysis
The fact that market attention will focus less on the US labour market report today may mean that the Canadian labour market report receives more attention. We doubt whether this will turn out to be quite so positive...
FxWirePro: Hedge TRY with knock-outs as uncertainty looms around EMFX ahead of Trump scenario
Nov 04, 2016 10:49 am UTC| Research & Analysis
The political risk is going to take center stage. The US election presents a major risk for the FX market in the event of a Trump victory that would imply it is high time to look at the question of what an election victory...
FxWirePro: Hedge USD vega exposure as currency appreciation nose-dives to drive gamma performance
Nov 04, 2016 07:46 am UTC| Central Banks Research & Analysis Insights & Views
The stern US dollar has been strengthening fails to drive gamma performance: fade rich USD vols and skews. This week saw a sharp acceleration in the global sovereign rates bearish steepening, on improved global data...