FxWirePro: NZD Short Vols to Finance Gold Gamma Ownership

Gold gamma vol trading: we recently published a long/short gold gamma trading machine learning model that utilizes vols, option implied flow and risk sentiment in making near term predictions about implied-realized gold vol performance. The model is currently expecting realized vol to tactically firm up and perform (above chart - note that a negative P/L indicates preference for long vol position). 

Alternatively, long front end FVAs (e.g. 1M1M) may be worth considering, being a good value, offering 0.7pts RV over an outright vol and protecting from a soft patch in realized vol while providing maintenance free exposure. 

With NZD vols screening as one of the top sells on the SVM G10 model ranking in refer above nutshell, we like financing long gold gamma with selling NZD gamma vols. The long/short structure minimizes time decay while maintaining the long gold gamma vol upside. The recent run of economic data has been strong, and speculators are extremely short NZD. That should propel NZD higher in the near-term, to 0.6850. Multi-month, though, our expectation that the US dollar will continue to strengthen, as the Fed hikes four more times over the next year, The RBNZ shifted back to a neutral bias (from an implicit easing one) at the Nov MPS, following a strong run of data. It expects to remain on hold over the next year at least. Courtesy: JPM

Currency Strength Index: FxWirePro's hourly EUR is inching at 54 (which is bullish), USD spot index is flashing at -78 levels (which is bearish), while articulating (at 13:02 GMT). For more details on the index, please refer below weblink:

http://www.fxwirepro.com/currencyindex