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1、FOCUS
2、GLOBALPleaserefertoimportantinformationand11July2019MARdisclosuresattheendofthisreportQUANTITATIVE&DERIVATIVESAcross-assetlookatJulyFOMCvolsKEYMESSAGES1.Unsurprisingly,significanteventweightsarepricedinacrossallassetclasses,resultinginsteeppre-JulyFOMCcalendarsandflatorinvertedpost-FOMC
3、calendars.XAUSDdisplaysthesteepestinversion,whiletraditionallysteepUSDCHFandUSDJPY3m/1mcalendarsareuncharacteristicallyflat.2.Goldrisk-reversalsareextremelybidforXAUtopside,whereasUSratesandFXriskieshaveretracedconsiderably,reflectingamuchreducedbidforUSyieldsandUSDdownsidesinceearlyJune.3.Im
4、pliedcorrelationsbetweenlowyielders(CHF,JPY)andhigh-betaFX(ie,AUD)alsoremarkablyinverted,with3morlongercorrelationsnotfarfrommulti-yearlows.4.FinallyFXvols,drivenbyextremecentralbankpolicyconvergence,havecollapsedbothoutright(nearpre-GlobalFinancialCrisisonmanyoccasions)andrelativetootherasse
5、tclasses(equities,USrates,commoditiesandgold).TRADEIDEASWeexplore:(i)SellingrichXAUUSDgammaandriskiesagainstcheapUSDJPY,USDCHFandEURUSDfront-endFVAs.(ii)BuyingFXgammafinancedbysellingtheweaksideoftheskewinlongerdates(iii)BuyingthecorrelationbetweenAUDandJPY(longUSDJPYputsagainstAUDJPYstraddle
6、s,(iv)TomonetizerichUSDJPYeventweights,cheapstranglesvsstraddlesandflatvolsurfaces,weexplorelong3mstranglesagainstshortstraddles.ThemarketisfocusingontheFOMCmeetingonReflectingtheheftyrisk-premiapricedinfortheevent,31Julyandsignificanteventweightsarepricedin3m/1mcalendarsareinvertedinXAUUSDan
7、dUSrates,acrossallassetclasses,asaresult..whereasthetraditionallysteepUSDJPYandUSDCHF3m/1mvolcalendarsareuncharacteristicallyflat,albeittechnicallynotinverted(Fig.1).VasilisKoutsaftis,OptionsStrategist
8、BNPParibasSecuritiesCorp.
9、FOCUS11/07/20191QUANTITATIVE&DERIVATIVESInvertedsurfaces,lowFXvsG
10、oldandUSratevolsWithcentralbankpolicydivergencenearmulti-year(i)SellingXAUUSDgammaoutright…lows(Fig2),FXvolshavecollapsedbothoutright(atSellingXAUUSDATMvolsandrisk-reversalseither10-12yearlowsinmanycurrencies)andrelativetooutrightorintheformo
