Weekly FX Review

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Weekly FX Review – June 30, 2017

Weekly FX Review 30 -June – 2017 Last week we highlighted the opportunities available in short-dated options and singled out four currencies that were undervalued according to our internal models: AUD, EUR, CHF, and JPY. Here are the results of those recommendations. Based on a spot of .7568 a one week straddle on AUD would

Weekly FX Review – May 26, 2017

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Weekly FX Review – June 9, 2017

FxVol Research Weekly Weekly FX Review 9 June – 2017 Faster than anticipated, the market has already started to sell off the front end of the MXP risk reversal curve with the sharp decline in the one month and three-month periods. MXP puts are losing some of their premia primarily in the front end. The

Weekly FX Review – June 16, 2017

FxVol Research Weekly Weekly FX Review 16-June – 2017 As we mentioned last week, and the week prior, the tone of Canadian fundamental releases has turned an important corner & this change in sentiment is best reflected in the rise in both short and medium-term bond yields. The chart above is the 5YR Canadian Bond

Weekly FX Review – June 2, 2017

FxVol Research Weekly Weekly FX Review   June 2nd, 2017   Friday’s muted NFP did not change the big picture. Vol is still declining in most asset classes with few exceptions. In the chart above AUD implied volatility is falling faster than the actuals.  The AUD hourly chart above shows more clearly the muted response