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Scandi FX Volatility Monitor - Sell 3M EUR/SEK Straddle With Strike Skewed

Published 01/14/2019, 02:46 AM
EUR/NOK
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EUR/SEK
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MMM
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Implied volatility is little changed from last week in the Scandi FX sphere. Realised volatility has declined substantially in both NOK and SEK,-crosses which should curb upside potential in implied volatilities in the near term in the absence of accelerating risk-off jitters.

From a risk/reward point of view, we still see value in selling 3M (NYSE:MMM) EUR/SEK straddle with the strike skewed on the upside relative to the FX forward. However, we note that political uncertainty in Sweden remains a risk factor for the SEK.

In terms of the NOK, we still like to pursue our bearish EUR/NOK view by adding short positions via 3-6M risk reversals on rallies in the cross.

High-Low Gamma Value

Implied Correlation Monitor

Important dates & FX Option Expiry

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