FxWirePro: Intricacies of Swiss Franc – “Directional combos” to hedge EUR/CHF bidding 25-delta RR
Aug 04, 2016 10:08 am UTC| Research & Analysis Insights & Views
CHF appreciated ahead of the Brexit referendum, and EURCHF has, except for referendum-day volatility, been trading in a 1.08-1.095 range in July. SNB confirmed interventions during referendum night, seeing FX reserves...
Aug 04, 2016 07:54 am UTC| Research & Analysis Insights & Views
Please be informed that the implied volatilities of EURCHF ATM contracts of all expiries have been the least among G10 currency segment. While, the 25-delta risk of reversal of EURCHF has also not been indicating any...
FxWirePro: Crude shocker on EMEA EM FX and how to arrest FX risks?
Aug 03, 2016 14:07 pm UTC| Insights & Views
The crude oil prices have fallen 20% since early June, but impact may stay idiosyncratic for now. So far this move has been entirely idiosyncratic, with a sharp reaction in oil exporters currencies but little spill-over to...
FxWirePro: Crude slumps continue to Scandis – Hedging vehicles for NOK and SEK
Aug 03, 2016 13:18 pm UTC| Insights & Views
Scandis risk a deeper setback with a high probability of NOK underperformance. While risk markets remain fairly resilient we clearly see the bigger down-risks for NOK which is perfectly reflected in the failure of...
Aug 03, 2016 10:55 am UTC| Central Banks
The GBP continued to weaken post-referendum, with EURGBP trading briefly above 0.86 and GBPUSD trading below 1.30 early in July. GBP has regained some of the losses, but TWI is still 10% weaker than pre-Brexit. EURGBP...
Aug 03, 2016 07:12 am UTC| Research & Analysis Insights & Views Central Banks
1W and 2W ATM IVs of GBP crosses are acting crazily in OTC markets, GBPJPY flashing more than 19.80% and 17.20% respectively ahead of Bank of Englands monetary policy which is most likely to ease about 25bps. Please...
FxWirePro: USD/BRL hedging cost optimization via calendar spread as quasi-protected short gamma
Aug 02, 2016 12:50 pm UTC| Insights & Views
Realized vols in USD/BRL have been steadily edging lower over the past few weeks but holding stronger near 3.20 levels, and gamma screens rich despite the material 3 vol+ decline in implieds since the Brexit vote 1M...