Tag: FXVOLRESEARCH
Weekly Fx Review – December 18th
EUR long term momentum is showing some signs of turning. However the overall signals are mixed. (see below).
Short-term correlation of one One month EUR...
Weekly FX Review – December 11th
It is not unusual for the Australian Dollar to have a 5 cent correction over a six month time horizon. We have been encouraging...
Weekly FX Review – December 4th
USDCAD LT momentum now shows clear signs of turning up from being in the slightly negative territory but we are not yet back to...
Weekly FX Review – November 27th
Three Month AUD vols are nearly back to their lows for the year while the implied vols move into negative territory vs the realized...
Weekly FX Review – November 20th
EUR momentum has flipped into positive territory while down channel has been violated.
EUR risk reversals have also flipped back in favour of EUR calls...
Weekly FX Review – November 13th
The chart above is EURJPY implied vol going back to 2014. Three-month EURJPY is in blue and six month is in red and the...
Weekly FX Review – November 6th
The melt-up in the commodity complex as represented by the DJ Commodity Index is breaking key topside resistance levels.
Above is a 3YR+ chart of...
Weekly FX Review – October 30th
The chart above is ten years of daily spot CAD data in grey overlaid with 3-month CAD implied volatility in blue. The purple &...
Weekly FX Review – October 23rd
The spread between three months implied vs realized vol in CAD is too wide. There remains strong interest to sell C$ volatility as the...
Weekly FX Review – September 25th
One month CAD vol has come off too far too fast. Same story with the one and two week periods. Gamma options are still...