确认您不是来自美国或菲律宾

在此声明,本人明确声明并确认:
  • 我不是美国公民或居民
  • 我不是菲律宾居民
  • 本人没有直接或间接拥有美国居民10%以上的股份/投票权/权益,和/或没有通过其他方式控制美国公民或居民。
  • 本人没有直接或间接的美国公民或居民10%以上的股份/投票权/权益的所有权,和/或受美国公民或居民其他任何方式行使的控制。
  • 根据FATCA 1504(a)对附属关系的定义,本人与美国公民或居民没有任何附属关系。
  • 我知道做出虚假声明所需付的责任。
就本声明而言,所有美国附属国家和地区均等同于美国的主要领土。本人承诺保护Octa Markets Incorporated及其董事和高级职员免受因违反本声明而产生或与之相关的任何索赔。
我们致力于保护您的隐私和您个人信息的安全。我们只收集电子邮件,以提供有关我们产品和服务的特别优惠和重要信息。通过提交您的电子邮件地址,您同意接收我们的此类信件。如果您想取消订阅或有任何问题或疑虑,请联系我们的客户支持。
Octa trading broker
开通交易账户
Back

Go long AUD/USD vol against USD/JPY vol – SocGen

Olivier Korber, Research Analyst at Societe Generale, suggests that the fair value of AUD/USD 3m vol is probably between 2 and 3 vols above USD/JPY 3m implied vol.

Key Quotes

“The spread is now only 0.3 vols mid, which is cheap and very low historically. The spread of the 3m realised volatilities is currently at 2 vols, and its positive average has been 3 vols since 2010 and 2.8 vols since 2014.

CNY weakness to lift AUD/USD volatility. AUD/USD 3m vol retreated lower along with the CNY vol sell-off. Yuan volatility has been pressured by the New Year break and the subsequent respite in the currency decline. But downside risks related to capital outflows from China persist. The AUD will be the biggest looser when the CNY downside returns, involving significant upside risk in AUD volatility. The entry point to go long is now attractive.

USD/JPY volatility set to normalise. The 1m daily realised vol jumped to 15 with the sudden break by USD/JPY of the 115 area, but has not durably stayed that high over the past decade. The 3m implied vol is trading 2.2 vols above the realised vol is not sustainable as the price action is cooling.

Expression Go for the 3m expiry
The AUD/USD vs USD/JPY 3m vol spread is now very low, while 3m leaves enough time for normalisation. The 6m and 1y vol spreads are currently at 1.1 and 1.8 mid. These dates are less attractive but discounting that the 3m implied vol spread should head north.

Mechanics Vega weighted straddles or volatility swaps.
#1 Buy AUD/USD 3m ATM straddle, Sell USD/JPY 3m ATM straddle Vega-weighted, dynamically delta-hedged Indicative offer: 0.65 vols.

#2 Long AUD/USD 3m volatility swap, Short USD/JPY 3m volatility swap
Indicative offer: 0.70 vols (high USD/JPY butterflies offset the wider bid-offer compared to the straddles)

Risks Persistent USD/JPY realised volatility
The P/L of the vanilla trade should be closely linked to the implied volatility spread between AUD/USD and USD/JPY. Unlimited risks are generated via the short gamma exposure of the USD/JPY straddle and could materialise if USD/JPY realised volatility remains above the implied volatility at which the straddle is sold.”

EUR/GBP jumps in Asia after Lonon Mayor joined Brexit campaign

Traders punished in the pound in early trade, sending the EUR/GBP to 0.78 handle after Influential London Mayor Boris Johnson joined 'Brexit' campaign.
了解更多 Previous

EUR/USD supported at 1.1100 in early Europe, PMIs eyed

The EUR/USD pair appears to have found some support just ahead of 1.11 handle and recovers ground somewhat over the last hours amid ongoing risk-off trades.
了解更多 Next