Impl. Scandi vol. is generally higher since last week. Especially the front end of the EUR/SEK vol. curve has increased further amid high uncertainty around the Riksbank meeting and the general election in Sweden.
While expensive already, we see risks skewed towards higher impl. EUR/SEK vol. levels (and SEK vol. in general) ahead of the Riksbank meeting on 5 September.
Hence, we still see value in buying the NOK/SEK call spread as we recommended in last week's Scandi vol. update. See Scandi FX Volatility Monitor , 20 August, for details.
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