Implied and realised volatility has rebounded from low levels driven by general risk-off moves in the market.
In particular, USD/SEK and USD/NOK impl. vol. has surged, driven by the USD-leg.
Higher SEK vol. reflects high uncertainty attached to the Riksbank meeting on 6 September and the general election in Sweden on 9 September. Both events are now included in the 1M tenor.
We reckon that buying 1M NOK/SEK straddle/strangle looks like the cheapest way to hedge the SEK risk.
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