
FxWirePro: Sterling OTC FX tepid, out of the limelight but not out of the woods
May 05, 2017 12:52 pm UTC| Research & Analysis Insights & Views
Please be advised that the 25-delta risk of reversal of GBPUSD has not been indicating any dramatic shoot up nor any slumps but bearish-neutral (no fresh change in risk reversals has been observed), but seems to be one of...
May 05, 2017 11:49 am UTC| Research & Analysis Insights & Views
We add short EM vol risk on positive developments this week, selling 1Y USD/TRY vols after unexpected CBRT hawkishness, and -1M/+3M vega-neutral calendars in USD/BRL to fade the mid-week vol uptick driven by local and...
May 05, 2017 10:20 am UTC| Central Banks Research & Analysis Insights & Views
Following the CBRTs decision to hike the Late Liquidity Window (LLW) by 50bp to 12.25%, we would like to initiate longs in TRYZAR (entry: 3.6950; target: 3.90) and uphold shorts in USDTRY. The central bank decision was in...

FxWirePro: Ideal time for tactical hedging USD/JPY via knockout puts
May 05, 2017 10:02 am UTC| Research & Analysis Insights & Views
The FOMC is looking through softer data and is on track for a June rate hike, but we dont think that suffices to drive the dollars robustness in the months to come unless the market reconsiders the longer-term rate...

FxWirePro: Bid 1m2m NZD/JPY IVs - naked puts for aggressive bears and DPS for risk averse hedgers
May 05, 2017 07:17 am UTC| Research & Analysis Insights & Views
OTC Outlook ATM IVs of this pair is trading at 9.95% and 10.11% for 1 and 2m tenors respectively. While 1m ATM puts are trading just at 12.31% more than NPV. Please also be noted that the options with a higher IV...
May 05, 2017 06:59 am UTC| Research & Analysis Insights & Views
In New Zealand, global dairy auction numbers have produced upbeat numbers, 3.6% versus previous 3.1%, while unemployment claims have reduced from the previous 5.2 to the current 4.9% against the forecasts at 5.1%....

FxWirePro: EUR-USD-JPY correlation triangle appending optionality on soothed euro vols
May 04, 2017 13:16 pm UTC| Research & Analysis Insights & Views
The well anticipated French election outcome on April 24th saw the massive shrink in FX vols meaningfully below 1-day forward levels from last weeks close. We remain comfortable fading political tail risks in Euro...