资源描述：
《拉美地区-投资策略-墨西哥元：褪色还是新常态？.docx》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。
1、FOCUS
2、VOLFOCUS05November2018QUANTITATIVE&DERIVATIVESMXN–Afadeoranewnormal?InvertedATMvolandflatriskiesterm-structureKEYMESSAGES•USDMXNATMvolsandrisk-reversalsrallied3.3and1pointsrespectivelyoverthelastcoupleofweeks,andarecurrentlytradingatlevels(i)similartoth
3、oseoftheJuly2018Mexicanelections,but(ii)belowtheextremesobservedduringtheNovember2016USelections.•Whileopiningonwhetherrecentpoliticaldevelopmentsrepresentanewnormoramarketover-reactionisbeyondthescopeofthispublication,itisinterestingtohighlightthatduringtheb
4、roadUSDrallyinthetwomonthsafterthe2016USelections,USDMXNrisk-reversalssoldoffrelativetoATMvols,asinvestorsconvertedoutrightlongcallstoratiosorothermediumrangeplays.•Theterm-structureofATMvolsisinverted,whiletheterm-structureofrisk-reversals,althoughnotinverte
5、dinthestrictsense,isveryflatandonlyexceededduringthe2016USelections.•InvestorsexpectingthattherecentMXNweaknessisthenewnormmaymonetizeinvertedATMvolsandflatrisk-reversaltermstructuresvia1x1orlightratiosoftopsideCalendarSpreads.Theseconstructsarelongvolbutshor
6、triskies.•Alternatively,theymaysellfrontendtopsidestrikesagainstlongcashpositions.•InvestorswhoprefertofadecurrentMXNweaknessmaymonetizethe(i)veryelevatedcarryinfundinglongMXNpositionsagainstEURand(ii)invertedvolsurfaceintheformof(i)downsidedigitals,(ii)calen
7、darsof1Touchputsand(iii)ratiosofcalendarsspreads.VasilisKoutsaftis,OptionsStrategist
8、BNPParibasSecuritiesCorp(NewYork)
9、FOCUS05/11/20181ATIVE&DERIVATIVESUSDMXNvols–AcomparisonofcurrentpriceactiontoNovember2016USandJuly2018MexicanelectionsUSDMXNATMvolsandrisk-r
10、eversalshavingrallied3.3and1points,respectivelyinthelastcoupleofweeks,arecurrentlymatchingthelevelsoftheMexicanelectionslastJuly,butremainsignificantlybelowlevelsseenduringtheNovember2016USelectionsof20.7and5.0pointsrespectively(Fig1).Itisoutsidethescopeofthi
11、spiecetoopineonwhetherrecentpoliticaldevelopmentsarea“newnorm”oranover-reactiontoheadlines.HoweverweexaminetheempiricalbehaviorofMXNvolduringthe2016USelections,forguidance.Currently3m25dc
