FX Hedging Strategy Series

FxWirePro: FED and RBNZ to stimulate NZD/USD bearish sentiments – Diagonal long put ladders to mitigate downside risks

Oct 28, 2016 09:15 am UTC| Central Banks Research & Analysis Commentary

New Zealand posted a NZD 1436 million trade deficit in September of 2016, compared to a NZD 1140 million shortfall a year earlier and beyond market projections of NZD 1125 million gap. Exports dropped by 5.7 pct, led by...

FX Hedging Strategy Series

FxWirePro: Significance of NZD/USD premium-adjusted deltas to construct implied volatility smiles capitalizing 2m negatively skewed IVs

Oct 28, 2016 08:51 am UTC| Central Banks Commentary

Before we begin with this write-up, please be informed that 2m NZDUSD ATM puts are flashing deltas around -0.54. NZDUSD has been tumbling considerably offlate, dropped from the highs of 0.7485 to the current 0.7134...

FX Hedging Strategy Series

FxWirePro: Formulate NZD/JPY DPRS to monitor perplexing IVs ahead of streaks of event risks in Kiwis and Japan

Oct 28, 2016 07:17 am UTC| Central Banks Commentary

On economic data radar over next fortnight: BoJ economic outlook report, monetary policy decision and policy rates on Oct 31st. GDT price index, Kiwis unemployment rates and inflation reports are scheduled to be...

FX Hedging Strategy Series

FxWirePro: What drives you writing overstated exorbitant NZD/JPY options?

Oct 28, 2016 06:00 am UTC| Central Banks Commentary

For an instance, 1w ATM puts and calls of this pair are trading 28% and 30% respectively more than NPV. While the ATM implied volatilities of the same tenor are at just shy above 9.5%. The standard deviation of this put...

Chart of the Day Series

Chart of the Day: Burning fast

Oct 27, 2016 16:40 pm UTC| Commentary Central Banks

This chart from Bloomberg markets shows that the Bank of England (BoE) has used almost 2 billion pounds in the very first month of its corporate asset purchase program. Its an 18-month program with 10 billion pounds...

FX Hedging Strategy Series

FxWirePro: EUR/CHF OTC advances traction for bearish risks, bid 3m 25-delta RR – Curb hedging cost by “writing exorbitant calls in directional combos”

Oct 27, 2016 12:10 pm UTC| Central Banks Commentary

OTC updates: The ATM implied volatilities are not rising considerably, still below 7.5% (to be precise 6.5% for 1W expiries and 7.25% for 1M expiries). Well, if you have short positions in option and IVs are shrinking...

Upbeat UK Q3 GDP data lowers chances of Bank of England's easing next week

Oct 27, 2016 11:32 am UTC| Insights & Views Economy Central Banks

Data released by the Office for National Statistics on Thursday showed that UK Q3 GDP grew by 0.5 percent, beating forecasts for 0.3 percent growth. Growth was, however, slower than the 0.7 percent recorded in the second...