Gold Surges Past $4400 on Crude Oil Rally; Bullish Trend Dominates 
Geopolitical Shocks That Could Reshape Financial Markets in 2025 
U.S. Treasury Yields Expected to Decline Amid Cooling Economic Pressures 
Moldova Criticizes Russia Amid Transdniestria Energy Crisis 
European Stocks Rally on Chinese Growth and Mining Merger Speculation 
Mexico's Undervalued Equity Market Offers Long-Term Investment Potential 
Energy Sector Outlook 2025: AI's Role and Market Dynamics 
China’s Growth Faces Structural Challenges Amid Doubts Over Data 
Wall Street Analysts Weigh in on Latest NFP Data 
Lithium Market Poised for Recovery Amid Supply Cuts and Rising Demand 
Fed May Resume Rate Hikes: BofA Analysts Outline Key Scenarios 
US Futures Rise as Investors Eye Earnings, Inflation Data, and Wildfire Impacts 
Add as a preferred source on Google
Owning USD calls/CHF puts or USDCHF risk reversals as long USD plays:
Unwind long EURCHF outright and rotate into long USDCHF via a risk reversal, which in conjunction with a pre-existing spot long in USDJPY, positions the portfolio for an ongoing improvement in the US economy.
Rotate long EURCHF into long USDCHF via risk reversal; keep EURUSD call spread, the much-awaited ECB meeting was modestly dovish and with it, Draghi was able to deliver euro weakening alongside a QE “taper” announcement for the second time in a year.
It is stated that USDCHF is one of the only two USD pairs (the other being USDJPY) where owning USD calls has been profitable on a delta-hedged basis since they earn smile theta along a risk-reversal that is bid for USD puts to reflect a premium for a 2015 franc de-peg-like SNB tail event.
In addition, long USDCHF directionally is a positive carry proposition, hence risk-reversals without delta-hedges lean long USD while earning both time decay and forward points.
The RV edge is that risk reversals are depressed via-a-vis ATM vols, which are themselves historically cheap relative to carry in forwards (refer above chart).
A 15’Dec17 (post-December FOMC) 1.01 / 0.98 risk-reversal costs 15bp premium (spot ref. 1.0008), has a very decent spot-to-strike distance ratio of the call and put legs of 1:2.5 and suffers negligible bleed till the final two weeks of its life.
