Moody's: China's sustained capital outflows to challenge policy effectiveness and exchange rate stability, although companies largely resilient

Mar 13, 2017 03:38 am UTC| Research & Analysis

Moodys Investors Service says that the likely persistence of capital outflows from China (Aa3 negative) over the rest of this year could constrain monetary policy and may lead to a more activist fiscal policy, if the...

FxWirePro: What drives buying cheaper downside Cable volatility and convexity?

Mar 10, 2017 12:39 pm UTC| Research & Analysis Insights & Views

Cable volatility has been extremely directional since 2012, with a strong and stable negative correlation. The Brexit vote in June 2016 initiated a new vol regime (unlike the FX/rates relationship which did not change...

FxWirePro: Red flags for cable and hedging vehicle for risk events

Mar 10, 2017 12:00 pm UTC| Research & Analysis Insights & Views

Cable outlook: Medium-term FX/rates correlation holds again; Fed will hike and MPC wont. Uncertainty is now about the impact of triggering Article 50, not whether or not it happens. 2m vol is undervalued by 2 vols...

FxWirePro: Volatility relative to 10y tails assuming next Fed hike odds

Mar 10, 2017 11:48 am UTC| Central Banks Research & Analysis Insights & Views

Although the March meeting ended last week a roughly 1:4 shot for a hike, a range of FOMC members and the Chair herself pushed it to fully priced by this Thursday. With March fully priced, markets should turn to focus...

FxWirePro: Rosy chances to write exorbitant AUD/USD puts in “Reverse Put Spreads” to optimally hedge downside risks ahead of Fed

Mar 10, 2017 07:43 am UTC| Research & Analysis Insights & Views

Lets also glance on sensitivity tool for 1-3m IV skews would signify the interests of OTM put strikes that would imply hedging sentiments are for downside risks in the underlying spot FX as Fed is most likely to hike...

FxWirePro: AUD/USD OTC sentiments for bearish risks remain intact but IVs mounting higher on assertive Fed

Mar 10, 2017 07:06 am UTC| Central Banks Research & Analysis Insights & Views

AUDUSDs negative momentum remains strong, the 0.7500 area vulnerable to giving way. All eyes will be on the US payrolls data tonight, markets believing it would take a major disappointment to dent the likelihood of a Fed...

FX Hedging Strategy Series

FxWirePro: Hedging CHF portfolio amid lingering anomalies

Mar 09, 2017 09:22 am UTC| Research & Analysis Insights & Views

Stay long CHF vs USD (3-month put spread) and EUR (cash). Keep short a 3-mo strangle in EURCHF against the underlying cash short. Its important to stress we are bullish CHF for domestic, reasons (current account = 10% of...