FX Hedging Strategy Series

FxWirePro: CNH vols seem exorbitant, USD/CNH double no touch with striking risk-reward match even for range-bounded trend

Jan 20, 2017 09:45 am UTC| Research & Analysis

Short volatility structures are appealing given the high cost of implied versus realized vols. Limited loss structures are also preferred. Since August 2015, the historical probability of the USDCNH breaching the knock-out...

FxWirePro: More headwinds in 2017 to substantiate AUD OTC bids – Aussie dollar still looking for southward targets

Jan 20, 2017 06:12 am UTC| Research & Analysis Insights & Views

The two main risks to our bearish AUD view are that (1) the currency is dragged higher in a more sustained re-rating of the global growth outlookand that (2) better global news and some signs of housing resilience see the...

FX Hedging Strategy Series

FxWirePro: How about getting extra leverage in USD/JPY via a global knock-in

Jan 19, 2017 13:33 pm UTC| Research & Analysis

The promise of an inflationary US policy mix impressively propelled the USDJPY to 118. The pullback has been sharp and it is now time to take a step back. Buying regular knock-in calls despite negative skew: A negative...

FxWirePro: GBP cheaper among G10 but Scandis seem more economical over sterling

Jan 19, 2017 12:50 pm UTC| Research & Analysis Insights & Views Commentary

GBP appears to be the cheapest among G10 space on this framework cross-section ally, but still, has room to weaken further relative to its history. GBP has been one of the underperformers within G10 over the past two...

FxWirePro: Yellen’s hawkish tone keeps AUD/USD’s major bearish trend intact, OTC bids still conducive for OTM puts in PRBS as optimal hedging

Jan 19, 2017 09:21 am UTC| Central Banks Research & Analysis Insights & Views

AUDUSDs higher IV with negative delta risk reversal can be interpreted as an opportunity for put longs as the market reckons the price has downside potential for large movement in the days to come which is resulting option...

Moody's: Asia bond covenant quality score for Q4 2016 strongest since Q3 2014

Jan 19, 2017 08:46 am UTC| Research & Analysis

Moodys Investors Service says that the average covenant quality score for high-yield bonds in Asia during Q4 2016 was the strongest since Q3 2014. The average covenant quality score for Asian high-yield bonds issued in...

FxWirePro: Aussie gains bank on Chinese data and meager dollar but bearish-neutral risk reversals and IV skews still bid for OTM puts

Jan 19, 2017 06:51 am UTC| Research & Analysis Insights & Views

The Aussie continues to gain background support from solid Chinese bulk prices and the general correction in USD, though a short-term peak appears to be in place at 0.7570. Should risk aversion build, the 0.7430-50 should...