الخميس , 23 نوفمبر 2017
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الرئيسية / سياسة / (English) Danske Bank FX Quant Strategy – No Strong Signals
(English) Danske Bank FX Quant Strategy – No Strong Signals

(English) Danske Bank FX Quant Strategy – No Strong Signals

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عفوا، هذه المدخلة موجودة فقط في الإنجليزية الأمريكية. For the sake of viewer convenience, the content is shown below in the alternative language. You may click the link to switch the active language.

FX Quant Strategy provides a quantitative overview of the currency market, including several valuation tools and monitors, focusing on the FX options market.

Apart from a cheap implied volatility signal at the 1M tenor in EUR/NOK, our FX spot and volatility monitors do not show any interesting signals at the moment in the major Scandi crosses. Hence, our models imply neutral FX markets at the moment.

Indeed, event risk premiums priced in connection with the second presidential election round in France on 7 May remain intact with one-day implied forward volatility (when adjusting for the weekend) trading at approximately 36% for EUR/USD and 50% for EUR/JPY. Also, investors remain bid for EUR puts around at the 1-3M tenors with especially EUR/JPY but also EUR/CHF, EUR/USD and USD/JPY 25 delta risk reversals being cheap according to our skew monitor. We expect the market to price in a bit more event risk ahead of the French election.

While short-dated EUR/NOK volatility appears cheap to borderline cheap, we have no strong signals from our short-term financial models. Also fundamentally, we prefer to stay side-lined as the cross remains caught between improving domestics and increasingly challenging externals. Despite two forces dragging the cross in different directions, we do not think short-dated straddles, from a risk/reward perspective, are sufficiently attractive. We remain strategically bullish on the NOK and are short EUR/NOK via our FX Top Trade put spread (for more info see FX Top Trades 2017: Portfolio update: long NOK, SEK, short GBP, JPY, CNH and AUD, 28 February). Spot wise, however, we maintain a cautious stance and will first want to add to short positions if spot spikes to 9.25-9.30.

To read the entire report Please click on the pdf File Below

 
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