The report highlights depressed G10 FX volatility and identifies NOK/SEK as a compelling candidate for shorting volatility due to its inverted term structure and unique z-score matrix positioning.
Key Takeaways
- 1.G10 FX volatility has been depressed, leading to a hunt for non-USD pair opportunities.
- 2.NOK/SEK stands out for potential short vol opportunities given its unique term structure inversion.
Table of Contents
- Anything left to sell?
- Relative value
- Vol slopes
- Volatility skew
- Gamma trading
- FX Research advanced tools
- Red Mount Analytics
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Authors
Alexandre Dolci
Securities
EURUSDNOKSEK
Themes
FX Volatility SuppressionSummer Market Lull
Regions
GlobalMiddle EastUnited StatesNorwaySweden