Realized versus implied volatilities – Bullish or bearish dollar among EM FX radar
Oct 21, 2016 12:57 pm UTC| Research & Analysis
Analyzing the time-varying properties of the EM FX spot-vol relationship reveals that the connection has weakened significantly over the past couple of years with the exception of the INR. In isolation, this reduces...
Oct 21, 2016 12:23 pm UTC| Central Banks Research & Analysis
It is not too hard to draw parallels between the size of the BoJ and the SNBs balance sheets, and hence the potential constraints on the SNBs FX policy which amounts to a soft floor in EURCHF. Its noteworthy that this...
Oct 21, 2016 09:47 am UTC| Research & Analysis
Fundamental updates: We will not find out what will happen next to the ECBs asset purchasing program until 8th December. ECB President Mario Draghi made that clear yesterday. He wants to wait for the results presented...
Oct 21, 2016 07:10 am UTC| Research & Analysis
The JPY exposure has foundered on the combination of higher US bond yields which JGBs have been unable to follow courtesy of the BoJs cap and lower US election risk. The rather weak US data of the last few days cautions...
FxWirePro: Cable options expressions capitalizing on risk reversal adjustments
Oct 20, 2016 13:30 pm UTC| Research & Analysis
In our recent posts, weve emphasized the significance of the GBP risk reversal expressions precisely both for short-term as well as long-term basis. GBP weakness is at the forefront of G10 FX markets as Brexit politics...
Oct 20, 2016 13:00 pm UTC| Research & Analysis
TheChinese economy grew 6.7% YoY in Q3 2016, in line with market expectation. On a seasonally adjusted basis, the economy grew 1.8% QoQ in Q3, the same as last quarter. Activity data also remained stable in general....
Oct 20, 2016 12:02 pm UTC| Central Banks Commentary
A glance at the implied 3-month volatilities illustrates the whole crux of the matter: at 19.9% ZAR is the currency with the highest volatility at present among G20 FX space. The volatility of the rand is the expression...