Why the future of marijuana legalization remains hazy despite high public support 
European Stocks Rally on Chinese Growth and Mining Merger Speculation 
Uranium Bull Market Gains Momentum Amid Supply Deficits and Geopolitical Tensions 
Canadian Dollar Outlook: Resilient Performance Driven by Oil Prices and Market Dynamics 
Morgan Stanley Warns Against Overestimating EV Demand Boost from Rising Oil Prices 
U.S. Banks Report Strong Q4 Profits Amid Investment Banking Surge 
Energy Sector Outlook 2025: AI's Role and Market Dynamics 
Urban studies: Doing research when every city is different 
Geopolitical Shocks That Could Reshape Financial Markets in 2025 
U.S. Treasury Yields Expected to Decline Amid Cooling Economic Pressures 
Long vega priced well in NZD, CHF and SGD: Amid heightened sensitivity of macro markets to US inflation data and increasing discomfort about the twin US deficits FX vols should remain supported. FX vol ownership at belly of vol curve is particularly appealing.
We backtested a rule-based heuristics to owning long vega –i.e. systematically rotating long vega ownership across USD/G10 & EM based on a composite trading signal -constructed from three signals: 1-year z-score of CTP (carry to-premium ratio), the strength of spot trend and 1-year z-score of realized/ATM vol ratio. The rule-based trading made long vega worth sustaining 3-5 vol pts of theta-decay annually, on average, in calm markets.
The above chart shows the recent (out-of-sample) performance of the strategy. The systematic portfolio (three 1Y tenor straddles selected monthly and held for three months in laddered portfolios started at time T, T+1M & T+2M) have fared well through the December soft vol patch and rebounded effectively during the January vol rally.
In the current market, the three vega longs that stand out based on the composite systematic signal are NZD, CHF and SGD vols. Courtesy: JPM
FxWirePro launches Absolute Return Managed Program. For more details, visit:
