FxWirePro: “Shifting the sentiments and paving the way for Fed’s March hikes”, OTC hedging factors in dollar bets

Mar 09, 2017 04:57 am UTC| Research & Analysis Insights & Views Central Banks

In just a week, markets went from doubting a March rate increase toviewing oneas a sure bet. The central banks top brass engineered the changeby speaking in favor of ahike, culminating in Fed Chair Janet Yellens...

FX Hedging Strategy Series

FxWirePro: Cable gets stuck in dreadful interest rate and geopolitical regime – Z-spread signals GBP overvaluation

Mar 08, 2017 12:17 pm UTC| Research & Analysis Insights & Views

Cable is the most over-valued G10 currency versus the dollar (refer above chart). Indeed, cable is more expensive versus 2Y rate spreads than at any point in the last five years. Fair-value currently languishes at 1.15,...

FxWirePro: Do Dutch polls really matter? Relative value in CAD/JPY and EUR/JPY ahead of European elections - Gamma spreads to factor in unforeseen risks

Mar 08, 2017 07:38 am UTC| Research & Analysis Insights & Views

CADJPY screens extremely cheap on our 1M gamma grid while EURJPY is materially expensive (refer above chart). CADJPY EURJPY 1M ATM spreads is nearly flat (zero) on mids, whereas the close-to-close realized vol spread...

FxWirePro: EUR/JPY low IV regime - “Strangle writings” for speculators, “Vol spreads” for laggards and “Put Ratio Back Spreads” for hedgers

Mar 08, 2017 06:50 am UTC| Research & Analysis Insights & Views

The EURJPY volatility surface is currently offering very attractive opportunities, as ATM volatility is rich and 6m/1y skews are excessively priced. Here, we recommend a couple of trades taking advantage of both the...

FxWirePro: Fed’s rest of 2017 to drive dollar derivatives baskets on stimulated OIS and UST yields

Mar 07, 2017 13:25 pm UTC| Research & Analysis Insights & Views Central Banks

Yellen dropped a heavy hint last week that a rate hike was coming on the Ides of March. That too is the day of the Dutch general election, though it remains unlikely that the populist Party for Freedom will secure a...

FxWirePro: EUR/AUD lacklustre IVs imply option writers’ edge; 1m skews indicate bearish risks - Arrest asymmetric political risk via zero-cost ladder

Mar 07, 2017 06:11 am UTC| Research & Analysis Insights & Views

On the back of political fears pressuring the euro, EURAUD has lost about 750 pips (about 5.12%) since the start of the year and the risk-friendly mood supporting the AUD via metals. But the pair is now testing the 1.37...

FxWirePro: EUR/PLN seems attractive carry among outright trades ahead of European political risks

Mar 06, 2017 11:50 am UTC| Research & Analysis Insights & Views

In 2016 we recommended a series of defensive trades into the Brexit and US election votes1 because we felt that political risks were underestimated. Going into the French elections we believe it is hard to say that...