FxWirePro: US treasuries lures among investors troops - NZD/USD 2w2m IVs and skews to signal put ratio back spread for optimal hedging

Mar 22, 2017 05:13 am UTC| Research & Analysis Insights & Views

The next upside target is 0.7130 (50% retracement of Feb/Mar decline). NZDUSDs medium term perspective: Potential for higher to the 0.7150-0.7300 area during the month ahead, as USD longs are pared. Further out, the...

FxWirePro: EUR/CHF 3m strangles and short via 2w OTM calls writings to synchronize OTC indications

Mar 20, 2017 11:33 am UTC| Research & Analysis Insights & Views

Please be noted that the implied volatilities of EURCHF ATM contracts from the nutshell evidencing IVs the contract of this underlying pair of all expiries have been the least among G10 currency segment. These lower...

FxWirePro: Canadian economic slack warrants BoC’s status quo – “Diagonal Debit Put Spread” to keep EUR/CAD’s downside risks on check

Mar 20, 2017 09:42 am UTC| Central Banks Research & Analysis Insights & Views

The statement from BoCs March 1st meeting reiterated the point that, unlike the US, Canada was an economy that continues to be beset by material excess economic slack, and thus warrants a policy stance that remains very...

FX Hedging Strategy Series

FxWirePro: Hedging European political risk - Buy EUR/JPY 3m one-touch vanilla

Mar 20, 2017 06:42 am UTC| Research & Analysis

The FX euro vol market is complacent compared to the bond market, seeing the resilient 10y OAT-Bund spread. This relief offers an attractive entry point to hedge a large euro downside move via options. The 3m downside skew...

FX Hedging Strategy Series

FxWirePro: Buying cheap downside vega amid French election

Mar 17, 2017 12:31 pm UTC| Research & Analysis

FX volatility is easing off following the March Fed hike and the reduction in political risk, following the defeat of the populist candidate in the Netherlands and a wider bookmakers spread between Macron and Le Pen (refer...

FX Hedging Strategy Series

FxWirePro: Does Riksbank impede Swedish Krona’s appreciation? Stay short via vanilla puts to arrest EUR/SEK’s downside risks

Mar 17, 2017 11:45 am UTC| Research & Analysis

The structural case for SEK appreciation remains intact the real effective exchange rate is 10-11% below its long-term average despite an economy that has a positive output gap and which continues to deliver above-trend...

FxWirePro: Outright CEE trades via FX derivatives

Mar 17, 2017 10:53 am UTC| Research & Analysis Insights & Views

In CEE FX space, we are bullish CZK. The exit from the EURCZK floor policy at the 4th May regular meeting is expected, after which we anticipate medium-term koruna appreciation. We continue to believe CZK is fundamentally...