FxWirePro: Put call parity of AUD/NZD options and back-test using Garman-Kohlhagen FX Model
Aug 01, 2016 07:47 am UTC| Research & Analysis
Any currency option deal may be equivalently valued as either a call or a put using a parity condition that is specific to currency options. We considered AUDNZD pair to demonstrate the concept, this condition states...
Jul 29, 2016 13:04 pm UTC| Research & Analysis Insights & Views
The OTC options market appeared to be more balanced on the direction for the pair over the 1m to 1y time horizon as hedgers have been cautious on long term downtrend that has lasted since mid-April 2013. As a result,...
FxWirePro: Long USD/KRW as a hedge against adverse August seasonal patterns through 1m NDF
Jul 29, 2016 10:31 am UTC| Insights & Views
Korean currency has won the trading against US dollar consecutively and continued its multi-month gains, KRW gained almost more than 10% to evidence 9 months lows of USDKRW. Since the end of February, the KRW rallied...
The driving forces of hedging KRW in August blues
Jul 29, 2016 09:58 am UTC| Insights & Views
With EM FX rallying year-to-date, investors might be inclined to take some chips off the table heading into August. Possible factors that could cause disturbances to risk sentiment include a more hawkish Fed or oil prices...
FxWirePro: Hedge AUD/USD puzzling swings via “DDPS” on bearish-neutral RR ahead of RBA
Jul 29, 2016 08:04 am UTC| Research & Analysis Insights & Views
AUDUSD delta risk reversals indicate bearish-neutral sentiments in FX OTC markets as there is no hedging interest seen in near terms (see for 1W expiries) but this has again shown in favour of bearish interests as the...
Jul 28, 2016 13:11 pm UTC| Research & Analysis Insights & Views
The delta risk reversals with positive changes of all time frames have alerted the major non-directional trend that has lasted since February 2015 but gradually favours downside hedging risks over the longer period of...
Jul 28, 2016 11:21 am UTC| Research & Analysis Insights & Views
Please be noted that the ATM IVs of this EURUSD are creeping up at 7.79% and 7.12% for 1w and 1m tenors respectively. Whereas the ATM premiums are trading 24% more than NPV, the disparity between IVs and premiums are...