danske bank’s fx quant...

1 www.danskebank.com/CI 1

Danske Bank FX Quant Strategy

Danske Bank’s FX Quant Strategy

Editor(s):

Senior Analyst

Morten Helt

+45 45 12 85 18

[email protected]

Analyst

Kristoffer Kjær Lomholt

+45 45 12 85 29

[email protected]

Important disclosures and

certifications are contained

from page 24 of this report.

14 October 2015

• FX Quant Strategy provides a quantitative overview of the currency market, including several valuation tools and monitors, focusing on the FX options market.

• This week we recommend two FX option trades:

− Short EUR/GBP via a 3M seagull

− Long NOK/SEK via a 6M risk reversal

• Following the past weeks’ decline in implied volatility, FX volatility generally trades in neutral territory across the board, according to our model. Especially, implied volatility on short-dated options has declined substantially causing a flattening of volatility curves – most notably in EUR/scandi and USD/scandi crosses where short-dated FX options up to the 1M tenor are borderline cheap, according to our volatility valuation model.

• According to our spot monitor, NOK remains significantly undervalued vis-à-vis EUR and SEK, while the two scandies are expensive relative to USD with both USD/SEK and USD/NOK trading below the short-term financial model fair value estimates of 8.2329 and 8.2190, respectively. Fundamentally, we remain medium- to long-term bullish on the NOK and think the current low levels in NOK/SEK combined with a cheap option skew offer an attractive opportunity from a risk/reward perspective to gradually build up long NOK/SEK positions. In addition, the recent month’s significant SEK appreciation challenges the Riksbank’s inflation mandate via lower import prices and we cannot rule out a Swedish rate cut already this month (albeit our main call remains a December cut). We recommend entering a 6M NOK/SEK risk reversal at zero costs.

• Among the majors, our short-term financial model suggests that GBP is undervalued with EUR/GBP trading 1.3 standard deviations above the model’s fair value of 0.7325 and GBP/USD currently 1.1 standard deviations below the fair value estimate of 1.5509. Yesterday, we recommended selling EUR/GBP on continued UK growth and a BoE rate hike in Q1, see Danske Bank FX Trading Portfolio – sell EUR/GBP (13 October 2015) for more details. As an alternative to an outright short position, we recommend to position for a lower EUR/GBP via a 3M bearish seagull. We recommend to enter a ratioed (1 x 1 x 1.5) seagull structure at zero costs by buying a 0.7465 put option and selling a 0.7220 put at the same notional while selling a 0.7630 call option at 1.5 x notional.

• For more details see Introducing Danske Bank's FX Quant Strategy, 5 March 2015.

mailto:[email protected]

mailto:[email protected]

http://danskeanalyse.danskebank.dk/abo/FXTradingPortfolioSellEURGBP131015/$file/FXTradingPortfolio_Sell_EURGBP_131015.pdf







http://danskeanalyse.danskebank.dk/abo/FXQuantTrades050315/$file/FXQuantTrades_050315.pdf






Top FX option trades

14 October 2015

Trade # 1: Enter bearish 3M EUR/GBP 1:1:1.5-ratioed seagull

Trade # 2: Enter bullish 6M NOK/SEK risk reversal

Sell 3M EUR/GBP call option at strike 0.7630, 1.5 notional

Price: Cost neutral (indicative prices).

PnL at maturityRationale

Strategy

Sell 3M EUR/GBP put option at strike 0.7220

Buy 3M EUR/GBP put option at strike 0.7465

Indicative prices (spot ref. 0.7465)

According to our models:

We recommend positioning for a lower EUR/GBP by entering a bearish 3M

EUR/GBP 1:1:1.5 seagull

● EUR/GBP spot is expensive

● 3M implied volatility is close-to-expensive

● EUR/GBP option skews are neutral across tenors

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

0.70 0.71 0.72 0.73 0.73 0.74 0.75 0.76 0.77 0.78 0.79

PnL, %

EUR/GBP at Maturity

1:1:1.5 Bearish Seagull Spot Outright

Indicative prices (spot ref.10000)

Rationale PnL at maturity

We recommend utilising the cheap levels in NOK/SEK spot and option

skew by entering a 6M bullish risk reversal

Price: Cost neutral (indicative prices).

According to our models:

● NOK/SEK spot is cheap

Strategy

Buy 6M NOK/SEK call option at strike 1.0180

● NOK/SEK risk reversals for tenors beyond 3M are cheap

Sell 6M NOK/SEK put option at strike 0.9800

● Implied volatility is marginally expensive for longer tenors

-8.0

-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

0.94 0.96 0.98 1.00 1.02 1.04 1.06

PnL, %

NOK/SEK at Maturity

Risk Reversal Spot Outright

Source: Danske Bank Markets

Source: Danske Bank Markets

Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation



Spot summary

14 October 2015

Directional signals based on model outputs

Note: ’Overall Valuation’ is based on a weighted average of model outputs

Source: Bloomberg, Danske Bank Markets

Spot ref. Overall valuation

Stdev. RSI 3M exp. % chg

EUR/NOK 9.25 Neutral 1.2 ● Overbought 47 ● 9.40 1.7%

EUR/SEK 9.26 Neutral -0.4 ● 39 ● 9.40 1.5%

USD/NOK 8.11 Very Cheap -1.3 ● Oversold 40 ● 8.55 5.5%

USD/SEK 8.12 Cheap -0.9 ● 30 ● 8.55 5.3%

NOK/SEK 1.00 Neutral -1.1 ● Oversold 46 ● 1.00 -0.2%

EUR/USD 1.14 Neutral 0.4 ● 63 ● 1.10 -3.6%

EUR/GBP 0.75 Neutral 1.3 ● Overbought 61 ● 0.72 -3.4%

EUR/JPY 136.57 Neutral 0.8 ● 57 ● 136.40 -0.1%

EUR/CHF 1.09 Neutral 1.1 ● Overbought 51 ● 1.07 -1.9%

GBP/USD 1.53 Neutral -0.8 ● 50 ● 1.53 -0.1%

USD/JPY 119.66 Neutral 0.2 ● 42 ● 124.00 3.7%

AUD/USD 0.73 Neutral -0.1 ● 59 ● 0.69 -5.1%

NZD/USD 0.67 Neutral 1.2 ● Overbought 69 ● 0.62 -8.0%

USD/CAD 1.30 Neutral 1.3 ● Overbought 37 ● 1.35 3.9%

AUD/NZD 1.08 Cheap -1.4 ● Oversold 33 ● Oversold 1.11 3.2%

EUR/HUF 311.1 Neutral 0.3 ● 45 ● 310.00 -0.4%

EUR/CZK 27.13 Neutral -0.9 ● 50 ● 27.10 -0.1%

EUR/PLN 4.23 Neutral 1.3 ● Overbought 55 ● 4.25 0.4%

EUR/RUB 71.9 Neutral 0.5 ● 47 ● 81.40 13.1%

EUR/TRY 3.36 Very Expensive 2.7 ● Very overbought 52 ● 3.48 3.5%

USD/CHF 0.96 Neutral -0.7 ● 39 ● 0.97 1.7%

USD/RUB 63.0 Cheap -1.1 ● Oversold 42 ● 74.00 17.3%

TechnicalShort-term Financial

ModelsCurrency pairs Forecast

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Signal Signal

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Cheap Neutral Expensive

For more details click on: STFM, Technical . or FX Forecast Update

Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation

http://danskeresearch.danskebank.com/link/FXForecastUpdate160915/$file/FX_Forecast_Update_160915.pdf



Volatility summary

14 October 2015

Note: ’Overall Valuation’ is based on a weighted average of model outputs


For more details click on: Volatility Appendix

Volatility valuation based on model outputs


Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation

Overall

valuation

Implied vol.

1W chg.

Realised vol.

Overall

valuation

Implied vol.

1W chg.

Realised vol.

Overall

valuation

Implied vol.

1W chg.

Realised vol.

Overall

valuation

Implied vol.

1W chg.

Realised vol.

EUR/NOK Neutral 9.3% 10.1% Neutral 9.6% 11.7% Neutral 9.3% 11.7% Neutral 9.4% 12.7%

EUR/SEK Neutral 6.9% 7.2% Neutral 6.7% 7.3% Neutral 6.7% 7.8% Neutral 7.1% 8.7%

USD/NOK Neutral 10.7% 11.2% Neutral 11.4% 13.6% Neutral 11.3% 13.5% Neutral 11.6% 16.1%

USD/SEK Neutral 9.9% 10.9% Neutral 9.8% 11.1% Neutral 10.0% 12.1% Neutral 10.5% 13.2%

NOK/SEK Neutral 9.1% 10.4% Neutral 9.4% 12.0% Neutral 9.1% 11.8% Neutral 9.0% 12.7%

EUR/USD Neutral 9.1% 9.8% Neutral 9.3% 10.1% Neutral 9.4% 10.9% Neutral 9.5% 11.6%

EUR/GBP Neutral 9.5% 9.6% Neutral 9.2% 9.8% Neutral 8.7% 10.2% Neutral 8.9% 9.6%

EUR/JPY Neutral 9.1% 7.7% Neutral 9.4% 8.4% Neutral 9.4% 9.3% Neutral 10.2% 11.4%

EUR/CHF Neutral 6.3% 5.7% Neutral 6.4% 6.6% Neutral 6.7% 7.5% Neutral 7.7% 19.0%

GBP/USD Neutral 6.8% 7.4% Neutral 7.0% 7.4% Neutral 7.1% 7.4% Neutral 8.1% 8.2%

USD/JPY Neutral 7.6% 7.5% Neutral 8.8% 7.9% Neutral 9.0% 9.7% Neutral 9.6% 9.5%

AUD/USD Neutral 12.0% 11.5% Neutral 12.2% 12.6% Neutral 11.8% 13.3% Neutral 11.8% 12.9%

NZD/USD Neutral 13.2% 13.0% Neutral 14.1% 14.3% Neutral 13.0% 15.1% Neutral 12.7% 14.1%

USD/CAD Neutral 9.4% 8.9% Neutral 9.2% 8.7% Neutral 8.7% 9.7% Neutral 8.7% 9.6%

AUD/NZD Neutral 9.2% 9.0% Neutral 10.0% 9.3% Neutral 9.1% 10.0% Expensive 8.7% 9.5%

EUR/HUF Neutral 6.6% 6.0% Neutral 6.6% 6.8% Neutral 7.0% 7.4% Neutral 8.1% 8.1%

EUR/CZK Neutral 4.7% 2.1% Neutral 4.7% 2.9% Neutral 4.6% 2.5% Neutral 5.0% 4.5%

EUR/PLN Neutral 6.5% 4.9% Neutral 6.6% 5.6% Neutral 6.9% 6.7% Neutral 7.4% 7.3%

EUR/TRY Neutral 14.6% 17.3% Neutral 16.0% 17.3% Neutral 14.8% 17.3% Neutral 15.0% 14.8%

EUR/RUB Neutral 23.4% 31.1% Neutral 23.0% 28.1% Neutral 22.7% 33.9% Neutral 22.8% 44.2%

USD/CHF Neutral 8.9% 10.7% Neutral 9.1% 11.1% Neutral 9.5% 10.8% Neutral 10.1% 20.4%

USD/RUB Neutral 21.5% 29.4% Neutral 22.0% 26.2% Neutral 21.8% 32.1% Neutral 22.5% 43.5%

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Skew summary

14 October 2015

Note: The Z-Score is calculated on volatility adjusted 25-delta risk reversals across tenors

’Overall Valuation’ is based on a weighted average of model outputs


Skew valuation based on model outputs

Overall

valuationZ-Score

RR

absolute

1W

chg

Overall

valuationZ-Score

RR

absolute

1W

chg

Overall

valuationZ-Score

RR

absolute

1W

chg

Overall

valuationZ-Score

RR

absolute

1W

chg

EUR/NOK Neutral 0.6 0.9 Neutral 0.8 1.1 Neutral 0.9 1.3 Expensive 1.1 1.6

EUR/SEK Neutral -0.1 0.5 Neutral 0.2 0.6 Neutral -0.2 0.6 Neutral -0.1 0.8

USD/NOK Neutral -1.0 0.4 Cheap -1.1 0.6 Neutral -0.3 1.4 Neutral 0.5 2.1

USD/SEK Cheap -1.4 0.2 Cheap -1.6 0.3 Neutral -0.6 1.1 Neutral 0.4 1.9

NOK/SEK Neutral 0.3 0.0 Neutral -0.5 -0.3 Neutral -0.9 -0.4 Cheap -1.3 -0.7

EUR/USD Expensive 1.5 -0.1 Expensive 1.3 -0.4 Neutral 0.7 -1.1 Neutral -0.3 -1.9

EUR/GBP Neutral 0.6 0.0 Neutral 0.6 0.0 Neutral 0.2 -0.3 Neutral -0.2 -0.7

EUR/JPY Neutral 0.5 -0.6 Neutral 0.7 -0.7 Neutral 0.8 -1.0 Neutral 0.9 -1.7

EUR/CHF Neutral -0.4 -0.2 Neutral -0.3 -0.4 Neutral -0.4 -1.0 Neutral -0.2 -2.3

GBP/USD Expensive 1.3 -0.1 Expensive 1.2 -0.2 Expensive 1.6 -0.3 Expensive 1.4 -0.8

USD/JPY Neutral -0.5 -0.3 Neutral -0.3 -0.3 Neutral -0.1 -0.3 Neutral 0.2 -0.2

AUD/USD Neutral 0.9 -0.9 Expensive 1.1 -1.2 Expensive 1.4 -1.7 Expensive 1.2 -2.7

NZD/USD Neutral 0.5 -0.9 Neutral 0.9 -1.2 Expensive 1.2 -1.7 Expensive 1.0 -2.7

USD/CAD Very Cheap -2.2 0.0 Cheap -2.0 0.2 Cheap -1.6 0.7 Neutral -0.9 1.3

AUD/NZD Neutral 1.0 0.0 Neutral 0.9 0.0 Expensive 1.0 0.0 Expensive 1.2 0.0

EUR/HUF Neutral -1.0 0.6 Cheap -1.3 0.8 Cheap -1.8 1.2 Cheap -1.8 2.2

EUR/CZK Very Cheap -3.4 -0.8 Very Cheap -3.1 -0.9 Very Cheap -3.6 -1.0 Very Cheap -5.1 -1.3

EUR/PLN Neutral -0.4 0.7 Neutral -0.8 0.8 Cheap -1.5 1.1 Cheap -1.1 2.0

EUR/RUB Neutral -0.2 2.1 Neutral -0.4 2.8 Neutral -0.1 4.9 Neutral 0.3 8.4

EUR/TRY Neutral 0.0 1.3 Neutral 0.0 2.2 Neutral 0.1 3.4 Neutral 0.4 5.2

USD/CHF Cheap -1.2 -0.2 Cheap -1.2 -0.2 Cheap -1.2 -0.2 Neutral -1.0 -0.2

USD/RUB Neutral -0.5 2.6 Neutral -0.5 3.4 Neutral -0.3 5.4 Neutral 0.3 8.9

12MS

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For more details click on: Skew Appendix

Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation



Carry summary

14 October 2015

Carry valuation based on model outputs


Note: ’Carry-to-risk’ is based on annualised carry relative to implied volatility (at-the-money)


Carry-to-risk Ann. Carry Carry-to-risk Ann. Carry Carry-to-risk Ann. Carry Carry-to-risk Ann. Carry

EUR/NOK -0.11 -1.1% -0.12 -1.2% -0.13 -1.3% -0.11 -1.1%

EUR/SEK 0.04 0.3% 0.04 0.3% 0.04 0.3% 0.03 0.2%

USD/NOK -0.06 -0.6% -0.06 -0.6% -0.05 -0.6% -0.02 -0.3%

USD/SEK 0.08 0.8% 0.08 0.8% 0.09 0.9% 0.10 1.0%

NOK/SEK 0.15 1.4% 0.16 1.5% 0.17 1.5% 0.14 1.3%

EUR/USD -0.05 -0.5% -0.06 -0.5% -0.07 -0.6% -0.08 -0.8%

EUR/GBP -0.07 -0.7% -0.08 -0.7% -0.09 -0.8% -0.11 -0.9%

EUR/JPY 0.00 0.0% 0.00 0.0% 0.00 0.0% 0.00 0.0%

EUR/CHF 0.10 0.6% 0.10 0.6% 0.11 0.7% 0.10 0.7%

GBP/USD 0.03 0.2% 0.03 0.2% 0.03 0.2% 0.02 0.1%

USD/JPY 0.04 0.3% 0.04 0.4% 0.08 0.7% 0.09 0.9%

AUD/USD 0.16 1.9% 0.16 2.0% 0.17 2.0% 0.14 1.6%

NZD/USD 0.20 2.7% 0.19 2.7% 0.21 2.7% 0.19 2.4%

USD/CAD -0.02 -0.2% -0.02 -0.2% -0.02 -0.2% -0.01 -0.1%

AUD/NZD -0.08 -0.7% -0.08 -0.8% -0.08 -0.8% -0.09 -0.8%

EUR/HUF -0.22 -1.5% -0.19 -1.2% -0.12 -0.8% -0.11 -0.9%

EUR/CZK 0.01 0.1% 0.02 0.1% 0.10 0.5% 0.12 0.6%

EUR/PLN -0.28 -1.8% -0.27 -1.8% -0.25 -1.7% -0.22 -1.7%

EUR/RUB -0.49 -11.5% -0.52 -12.1% -0.52 -11.8% -0.52 -11.9%

EUR/TRY -0.83 -12.0% -0.72 -11.5% -0.78 -11.6% -0.79 -11.8%

USD/CHF 0.12 1.1% 0.13 1.2% 0.14 1.4% 0.15 1.5%

USD/RUB -0.51 -10.9% -0.52 -11.5% -0.51 -11.1% -0.49 -11.0%

1M 3M 12M

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Currency pairs

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Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation



Appendix

14 October 2015

Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation



Spot overview (1/3)

14 October 2015

Short-term financial models (STFM) – Overview

Spot Model Signal Deviation (%) Deviation (stdev) Model Strength

EUR/NOK 9.255 9.1040 Overbought 1.7% 1.2 0.4

EUR/SEK 9.263 9.2991 -0.4% -0.4 0.4

USD/NOK 8.110 8.2190 Oversold -1.3% -1.3 0.8

USD/SEK 8.117 8.2329 -1.4% -0.9 0.3

NOK/SEK 1.001 1.0178 Oversold -1.7% -1.1 0.3

EUR/USD 1.141 1.1382 0.3% 0.4 0.2

EUR/GBP 0.745 0.7325 Overbought 1.7% 1.3 0.3

EUR/JPY 136.570 134.1619 1.8% 0.8 -0.2

EUR/CHF 1.092 1.0587 Overbought 3.1% 1.1 0.0

GBP/USD 1.532 1.5509 -1.2% -0.8 -0.1

USD/JPY 119.660 119.3254 0.3% 0.2 0.0

AUD/USD 0.727 0.7300 -0.4% -0.1 0.1

NZD/USD 0.674 0.6539 Overbought 3.1% 1.2 0.1

USD/CAD 1.299 1.2769 Overbought 1.7% 1.3 0.3

AUD/NZD 1.079 1.1066 Oversold -2.5% -1.4 0.0

EUR/HUF 311.110 310.4817 0.2% 0.3 0.0

EUR/CZK 27.126 27.4268 -1.1% -0.9 -0.2

EUR/PLN 4.234 4.1656 Overbought 1.6% 1.3 -0.4

EUR/RUB 71.926 70.4702 2.1% 0.5 -0.5

EUR/TRY 3.358 3.1186 Very Overbought 7.7% 2.7 0.0

USD/CHF 0.957 0.9730 -1.7% -0.7 -0.1

USD/RUB 63.034 65.1916 Oversold -3.3% -1.1 -0.1

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Note: Linear regression models using a 200-day rolling estimation window. 2Y swap spread is

included only when spot beta is positive. Short-term financial models are partial models,

implying that there is no built-in consistency between, e.g., EUR/NOK, EUR/SEK

and NOK/SEK models

Source: Bloomberg, Danske Bank Markets calculations

Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation



Spot overview (2/3)

14 October 2015

Short-term financial models (STFM) – Overview

1st

biggest misalignment:

2nd


3rd


AUD/USD(Model estimate:0.730) NOK/SEK(Model estimate:1.018) AUD/NZD(Model estimate:1.107)

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

AUD/USD NOK/SEK AUD/NZD NZD/USD USD/HUF EUR/CHF EUR/CAD EUR/NOK EUR/AUD USD/CAD

Dev

iati

on

(std

ev)

Today 1W ago 2W ago . Spot above model

Spot below model

Top 5 Oversold signals

Top 5 Overbought signals


Source: Bloomberg, Danske Bank Markets Source: Bloomberg, Danske Bank Markets Source: Bloomberg, Danske Bank Markets

Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation



Spot overview (3/3)

14 October 2015

Technical spot overview

Note: Trend direction and strength computed using ‘DMI’ analysis (range-trade defined as ADX line <25), trend support/resistance computed using ‘Trender’

algorithm, Bollinger bands computed on 30-period window, RSI computed on 14-period window (oversold defined as <30, overbought defined as >70)


Spot 1M change Bollinger-bands 20-DMA 50-DMA 1M Low-High ADX RSI

Direction Strength Sup./Res. -/+ 2 std dev

EUR/NOK 9.2459 -0.2% 9.0528 / 9.5552 9.3385 9.2749 9.1517 / 9.6281 19.5 46.6

EUR/SEK 9.2620 -0.8% 9.2411 / 9.4842 9.3529 9.4280 9.2343 / 9.5304 15.7 38.5

USD/NOK 8.1033 -1.0% 7.9990 / 8.5447 8.2955 8.2662 8.0464 / 8.6017 19.7 40.3

USD/SEK 8.1176 -1.6% 8.2868 8.3082 8.4038 8.0958 / 8.4947 30.5 29.9

NOK/SEK 1.0018 -0.6% 1.0151 1.0017 1.0168 0.9798 / 1.0217 34.6 46.3

EUR/USD 1.1410 0.8% 1.1093 / 1.1404 1.1258 1.1221 1.1105 / 1.146 23.7 62.7

EUR/GBP 0.7451 1.5% 0.7331 0.7366 0.7284 0.7197 / 0.7493 27.1 61.2

EUR/JPY 136.4900 0.5% 132.8309 / 137.2817135.1275 135.8452 133.16 / 137.45 15.3 57.3

EUR/CHF 1.0911 -0.4% 1.0840 / 1.1005 1.0920 1.0879 1.0824 / 1.0999 18.2 51.1

GBP/USD 1.5314 -0.7% 1.5076 / 1.5544 1.5286 1.5407 1.5108 / 1.5659 16.9 50.3

USD/JPY 119.6200 -0.3% 121.0934 120.0285 121.0822 118.68 / 121.24 34.7 42.2

AUD/USD 0.7267 1.8% 0.7182 0.7129 0.7168 0.6937 / 0.7382 25.4 59.1

NZD/USD 0.6741 6.3% 0.6564 0.6467 0.6465 0.6237 / 0.675 27.2 69.0

USD/CAD 1.2989 -2.1% 1.2938 / 1.3470 1.3186 1.3183 1.2901 / 1.3457 23.2 37.0

AUD/NZD 1.0780 -4.3% 1.0762 / 1.1363 1.1025 1.1089 1.0768 / 1.1348 21.4 33.1

EUR/HUF 311.2300 -0.6% 309.6302 / 315.6658312.1910 312.5176 309.43 / 316 13.8 45.1

EUR/CZK 27.1240 0.3% 27.0447 27.1457 27.0848 27.023 / 27.311 32.4 50.2

EUR/PLN 4.2348 0.6% 4.1905 / 4.2570 4.2281 4.2165 4.1816 / 4.2586 12.5 54.9

EUR/RUB 72.0014 -5.8% 69.6904 / 78.0015 72.8219 73.9543 68.861 / 77.1907 18.2 46.5

EUR/TRY 3.3636 -3.0% 3.2878 / 3.4675 3.3700 3.3120 3.2599 / 3.4762 23.3 52.3

USD/CHF 0.9563 -1.1% 0.9595 / 0.9827 0.9701 0.9697 0.9528 / 0.9844 21.9 39.4

USD/RUB 63.1077 -6.5% 61.5064 / 69.8303 64.6970 65.8247 60.8291 / 69.2088 21.4 41.6Ot

he

rE

M

TrendCurrency pairs

Sc

an

die

sM

ajo

rs

Co

mm

od

ity

Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation



Volatility overview (1/5)

14 October 2015

Straddle histograms



Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation

2W 1M 3M 1Y

EUR/NOK 24% 22% 19% 29%

EUR/SEK 31% 29% 24% 29%

USD/NOK 46% 41% 39% 40%

USD/SEK 49% 47% 45% 55%

NOK/SEK 29% 26% 26% 28%

EUR/USD 45% 41% 46% 51%

EUR/GBP 28% 27% 27% 33%

EUR/JPY 49% 46% 43% 48%

EUR/CHF 21% 21% 18% 25%

GBP/USD 53% 49% 43% 49%

USD/JPY 54% 45% 39% 52%

AUD/USD 42% 39% 42% 52%

NZD/USD 41% 37% 40% 51%

USD/CAD 34% 30% 34% 44%

AUD/NZD 33% 28% 34% 29%

EUR/HUF 43% 41% 40% 30%

EUR/CZK 42% 44% 45% 54%

EUR/PLN 48% 53% 49% 57%

EUR/TRY 33% 33% 42% 50%

EUR/RUB 10% 9% 14% 21%

USD/CHF 50% 45% 45% 32%

USD/RUB 10% 10% 14% 38%

Straddle price compared to historical distribution of changes in spot pricesProfit probability (long straddle position)

Co

mm

od

ity

1M: EURRUB (Most expensive) 1M: EURPLN (Cheapest)Currency pairs

Sc

an

die

sM

ajo

rs

Profit probabilites are calculated as the frequency of changes in spot prices in each currency pair (since 2000) large enough to generate profit on a long (delta neutral) straddle position.

Oth

er

EM

3M: EURRUB (Most expensive) 3M: EURPLN (Cheapest)

1Y: EURRUB (Most expensive) 1Y: EURPLN (Cheapest)

0%

5%

10%

15%

20%

23%15%7%-1%-9%-17%Percentage change in spot

0%

5%

10%

15%

20%

13%9%5%1%-3%-7%-11%Percentage change in spot

Break even

at --3.95%

Break even at

+6.41% Break even

at --1.31%

Break even

at +1.65%

0%

5%

10%

15%


0%

5%

10%

15%


Break even

at --5.47%

Break even

at +12.71%

Break even

at --2.27%

Break even

at +3.28%

0%

5%

10%


Break even

at --3.50%

Break even

at +33.30%

0%

5%

10%


Break even

at --3.97%Break even

at +7.89%




14 October 2015

Range Trade Monitor


Note: Ratio is based on actual range relative to the delta-neutral straddle price. ADX indicates the

trend strengths of the specific currency pairs.


Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation

Top 3 expensive Top 3 expensive Top 3 expensive

1 EUR/CHF 84 pips 108 pips 0.8 18.2 1 EUR/CZK 2880 pips 2846 pips 1.0 32.4 1 EUR/CZK 3260 pips 5067 pips 0.6 32.4

2 EUR/CZK 1600 pips 2011 pips 0.8 32.4 2 USD/JPY 256 pips 237 pips 1.1 34.7 2 EUR/HUF 103000 pips 87306 pips 1.2 13.8

3 EUR/PLN 492 pips 428 pips 1.1 12.5 3 EUR/CHF 189 pips 158 pips 1.2 18.2 3 EUR/JPY 677 pips 517 pips 1.3 15.3

Top 3 cheapest Top 3 cheapest Top 3 cheapest

1 USD/NOK 4990 pips 1349 pips 3.7 19.7 1 USD/NOK 5553 pips 2077 pips 2.7 19.7 1 EUR/RUB 221071 pips 65356 pips 3.4 18.2

2 USD/CAD 552 pips 184 pips 3.0 23.2 2 NZD/USD 513 pips 213 pips 2.4 27.2 2 EUR/TRY 6076 pips 2015 pips 3.0 23.3

3 EUR/NOK 4002 pips 1347 pips 3.0 19.5 3 AUD/NZD 580 pips 242 pips 2.4 21.4 3 NOK/SEK 856 pips 364 pips 2.3 34.6

1 month strategies

Delta-neutral

straddle

Ratio* ADX**# FX Actual range FX Actual range Delta-neutral

straddle

Ratio* ADX**#

3 month strategies2 week strategies

# FX Actual range Delta-neutral

straddle

Ratio* ADX**

EUR/CHF

USD/NOK

EUR/CZK

USD/NOK

EUR/CZK

EUR/RUB

1.08

1.09

1.10

1.11

16/09 26/09 06/10 16/10 26/10

7.90

8.00

8.10

8.20

8.30

8.40

8.50

8.60

8.70

16/09 26/09 06/10 16/10 26/10

26.80

26.90

27.00

27.10

27.20

27.30

27.40

27.50

19/08 02/09 16/09 30/09 14/10 28/10 11/11

7.80

7.90

8.00

8.10

8.20

8.30

8.40

8.50

8.60

8.70

19/08 02/09 16/09 30/09 14/10 28/10 11/11

26.50

26.75

27.00

27.25

27.50

27.75

28.00

04/02 04/04 04/06 04/08 04/10

50.00

55.00

60.00

65.00

70.00

75.00

80.00

85.00

04/02 04/04 04/06 04/08 04/10




14 October 2015

Term-structure overview

Note: Term structure is based on implied volatility (at-the-money)


2.5%5.0%7.5%

10.0%12.5%15.0%17.5%20.0%22.5%25.0%27.5%

1W 1M 3M 6M 12M

EUR/NOK

1Y interval Now Average Last week

2.5%

5.0%

7.5%

10.0%

12.5%

15.0%

17.5%

1W 1M 3M 6M 12M

EUR/SEK


2.5%5.0%7.5%

10.0%12.5%15.0%17.5%20.0%22.5%25.0%

1W 1M 3M 6M 12M

USD/NOK


5.0%

7.5%

10.0%

12.5%

15.0%

17.5%

20.0%

22.5%

1W 1M 3M 6M 12M

USD/SEK


2.5%5.0%7.5%

10.0%12.5%15.0%17.5%20.0%22.5%25.0%

1W 1M 3M 6M 12M

NOK/SEK


0.0%

5.0%

10.0%

15.0%

20.0%

1W 1M 3M 6M 12M

EUR/USD


2.5%

5.0%

7.5%

10.0%

12.5%

15.0%

17.5%

1W 1M 3M 6M 12M

EUR/GBP


2.5%

5.0%

7.5%

10.0%

12.5%

15.0%

17.5%

20.0%

1W 1M 3M 6M 12M

EUR/JPY


0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

40.0%

1W 1M 3M 6M 12M

EUR/CHF


Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation




14 October 2015




2.5%

5.0%

7.5%

10.0%

12.5%

15.0%

17.5%

1W 1M 3M 6M 12M

GBP/USD


2.5%

5.0%

7.5%

10.0%

12.5%

15.0%

17.5%

1W 1M 3M 6M 12M

USD/JPY


2.5%

5.0%

7.5%

10.0%

12.5%

15.0%17.5%

20.0%

22.5%

1W 1M 3M 6M 12M

AUD/USD


2.5%

5.0%

7.5%

10.0%

12.5%

15.0%

1W 1M 3M 6M 12M

USD/CAD


5.0%

7.5%

10.0%

12.5%

15.0%

17.5%

20.0%

1W 1M 3M 6M 12M

NZD/USD


2.5%

5.0%

7.5%

10.0%

12.5%

15.0%

1W 1M 3M 6M 12M

AUD/NZD


0.0%

5.0%

10.0%

15.0%

1W 1M 3M 6M 12M

EUR/HUF


0.0%

2.5%

5.0%

7.5%

10.0%

1W 1M 3M 6M 12M

EUR/CZK


2.5%

5.0%

7.5%

10.0%

12.5%

1W 1M 3M 6M 12M

EUR/PLN


Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation




14 October 2015


5.0%15.0%25.0%35.0%45.0%55.0%65.0%75.0%85.0%95.0%

1W 1M 3M 6M 12M

EUR/RUB


5.0%

7.5%

10.0%

12.5%

15.0%

17.5%

20.0%

1W 1M 3M 6M 12M

EUR/TRY


2.5%

7.5%

12.5%

17.5%

22.5%

27.5%

32.5%

37.5%

1W 1M 3M 6M 12M

USD/CHF


5.0%15.0%25.0%35.0%45.0%55.0%65.0%75.0%85.0%

1W 1M 3M 6M 12M

USD/RUB


0.0%

10.0%

20.0%

1W 1M 3M 6M 12M

EUR/AUD


5.0%

10.0%

15.0%

20.0%

1W 1M 3M 6M 12M

EUR/NZD


0.0%

5.0%

10.0%

15.0%

20.0%

1W 1M 3M 6M 12M

EUR/CAD


0.0%

10.0%

20.0%

30.0%

1W 1M 3M 6M 12M

USD/HUF


0.0%

10.0%

20.0%

1W 1M 3M 6M 12M

USD/CZK




Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation



Skew overview (1/4)

25-delta risk reversal (percentile, volatility adjusted) by currency pair and across currency pairs

14 October 2015



EURNOK

EURSEK

USDNOK

USDSEK

NOKSEK

EURUSD

EURGBP

EURJPY

EURCHF

GBPUSDUSDJPY

AUDUSD

NZDUSD

USDCAD

AUDNZD

EURHUF

EURCZK

EURPLN

EURRUB

EURTRY

USDCHF

USDRUB

EURAUD

EURNZD

EURCAD

USDCZK

0

10

20

30

40

50

60

70

80

90

100

0 10 20 30 40 50 60 70 80 90 100

Percentile across

currencies, 5Y history

Percentile for single cross, 5Y history

Volatility Adjusted 3M 25-Delta Risk Reversal, percentile overview

Cheap Expensive

Exp

ensi

veC

hea

p

Absolute RR zero-percentile

Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation



Skew overview (2/4)

25-delta risk reversals (Z-scores, volatility adjusted) by currency pairs and tenors

14 October 2015

2W 1M 3M 6M 12Y 2W 1M 3M 6M 12Y 2W 1M 3M 6M 12Y

0.6 0.8 0.9 0.9 1.1 -0.1 0.2 -0.2 -0.1 -0.1 -1.0 -1.1 -0.3 0.3 0.5


-1.4 -1.6 -0.6 0.2 0.4 0.3 -0.5 -0.9 -1.0 -1.3 1.5 1.3 0.7 -0.1 -0.3


0.6 0.6 0.2 0.0 -0.2 0.5 0.7 0.8 0.8 0.9 -0.4 -0.3 -0.4 -0.3 -0.2

NOK/SEK EUR/USD

1M Risk Reversal History

EUR/NOK EUR/SEK USD/NOK

EUR/GBP EUR/JPY EUR/CHF

Vol Adjust. Z-Score

Vol Adjust. Z-Score



USD/SEK

Vol Adjust. Z-Score

-0.5

0

0.5

1

1.5

2

2.5

3

3.5

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15

3M Abs. RR 5Y Mean +/-2 Stdev

0.00

0.50

1.00

1.50

2.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-0.500.000.501.001.502.002.503.003.504.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-2.50

-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-4.00-3.50-3.00-2.50-2.00-1.50-1.00-0.500.000.50

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-6.00

-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-6.00

-4.00

-2.00

0.00

2.00

4.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-3.50

-3.00

-2.50

-2.00

-1.50

-1.00

-0.50

0.00

0.50

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-5.00

-4.00

-3.00

-2.00

-1.00

0.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-5.00

-4.00

-3.00

-2.00

-1.00

0.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

0.50

1.00

1.50

2.00

2.50

3.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-0.80

-0.60

-0.40

-0.20

0.00

0.20

0.40

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

1.00

2.00

3.00

4.00

5.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

1.00

2.00

3.00

4.00

5.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15



Note: The charts illustrate historical movements in the absolute 1M 25-delta risk reversals


Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation



Skew overview (3/4)

14 October 2015

-0.5

0

0.5

1

1.5

2

2.5

3

3.5

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

0.50

1.00

1.50

2.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-0.500.000.501.001.502.002.503.003.504.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-2.50

-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-4.00-3.50-3.00-2.50-2.00-1.50-1.00-0.500.000.50

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-6.00

-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-6.00

-4.00

-2.00

0.00

2.00

4.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15



1.3 1.2 1.6 1.4 1.4 -0.5 -0.3 -0.1 0.0 0.2 0.9 1.1 1.4 1.4 1.2


0.5 0.9 1.2 1.2 1.0 -2.2 -2.0 -1.6 -1.1 -0.9 1.0 0.9 1.0 1.1 1.2


-1.0 -1.3 -1.8 -1.9 -1.8 -3.4 -3.1 -3.6 -4.0 -5.1 -0.4 -0.8 -1.5 -1.6 -1.1

Vol Adjust. Z-Score

Vol Adjust. Z-Score

EUR/HUF


Vol Adjust. Z-Score

NZD/USD

GBP/USD

USD/CAD AUD/NZD

EUR/CZK EUR/PLN

USD/JPY AUD/USD

-3.50

-3.00

-2.50

-2.00

-1.50

-1.00

-0.50

0.00

0.50

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-5.00

-4.00

-3.00

-2.00

-1.00

0.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-5.00

-4.00

-3.00

-2.00

-1.00

0.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

0.50

1.00

1.50

2.00

2.50

3.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-0.80

-0.60

-0.40

-0.20

0.00

0.20

0.40

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

1.00

2.00

3.00

4.00

5.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

1.00

2.00

3.00

4.00

5.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-5.00

0.00

5.00

10.00

15.00

20.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

1.00

2.00

3.00

4.00

5.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-5.00

0.00

5.00

10.00

15.00

20.00

25.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-0.50

0.00

0.50

1.00

1.50

2.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-0.50

0.00

0.50

1.00

1.50

2.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-1.50

-1.00

-0.50

0.00

0.50

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15






Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation



Skew overview (4/4)

14 October 2015

-3.50

-3.00

-2.50

-2.00

-1.50

-1.00

-0.50

0.00

0.50

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-5.00

-4.00

-3.00

-2.00

-1.00

0.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-5.00

-4.00

-3.00

-2.00

-1.00

0.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

0.50

1.00

1.50

2.00

2.50

3.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-0.80

-0.60

-0.40

-0.20

0.00

0.20

0.40

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

1.00

2.00

3.00

4.00

5.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

1.00

2.00

3.00

4.00

5.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15



-0.2 -0.4 -0.1 0.2 0.3 0.0 0.0 0.1 0.3 0.4 -1.2 -1.2 -1.2 -1.1 -1.0


-0.5 -0.5 -0.3 0.1 0.3 1.5 1.4 1.1 1.0 1.0 1.2 1.1 0.9 0.8 0.9


1.8 2.1 1.9 1.6 1.4 -0.9 -1.3 -1.4 -1.1 -1.0 -1.3 -1.2 -0.7 -0.6 -0.9

USD/RUB

Vol Adjust. Z-Score

EUR/RUB

Vol Adjust. Z-Score

EUR/CAD USD/HUF USD/CZK

Vol Adjust. Z-Score

EUR/TRY USD/CHF

EUR/AUD EUR/NZD

-5.00

0.00

5.00

10.00

15.00

20.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

1.00

2.00

3.00

4.00

5.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-5.00

0.00

5.00

10.00

15.00

20.00

25.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-0.50

0.00

0.50

1.00

1.50

2.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-0.50

0.00

0.50

1.00

1.50

2.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


-1.50

-1.00

-0.50

0.00

0.50

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15


0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

Oct

-14

Nov

-14

Dec

-14

Jan

-15

Feb

-15

Mar

-15

Ap

r-1

5

May

-15

Jun

-15

Jul-1

5

Au

g-1

5

Sep

-15

Oct

-15






Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation



Butterfly overview (1/2)

Butterfly valuation based on model outputs

14 October 2015


Overall

valuationZ-Score

Butterfly

absolute

1W

chg

Overall

valuationZ-Score

Butterfly

absolute

1W

chg

Overall

valuationZ-Score

Butterfly

absolute

1W

chg

Overall

valuationZ-Score

Butterfly

absolute

1W

chg

EUR/NOK Neutral 0.2 0.3 Neutral -0.3 0.3 Neutral -0.4 0.3 Cheap -1.4 0.4

EUR/SEK Neutral -0.3 0.2 Neutral -0.3 0.2 Neutral -0.9 0.2 Cheap -1.4 0.3

USD/NOK Expensive 1.3 0.3 Neutral 0.5 0.2 Neutral 0.1 0.3 Neutral -0.1 0.4

USD/SEK Neutral 0.7 0.2 Neutral 1.0 0.2 Expensive 1.0 0.3 Neutral 0.8 0.4

NOK/SEK Neutral 0.0 0.2 Neutral -0.5 0.2 Neutral -0.7 0.3 Neutral -1.0 0.4

EUR/USD Neutral 0.7 0.2 Neutral -0.3 0.2 Cheap -1.1 0.3 Cheap -1.2 0.3

EUR/GBP Neutral -0.3 0.2 Neutral -0.9 0.2 Neutral -0.4 0.3 Neutral -0.3 0.4

EUR/JPY Neutral 0.3 0.3 Neutral -0.2 0.3 Neutral -0.1 0.4 Neutral 0.3 0.6

EUR/CHF Neutral -0.3 0.5 Neutral -0.4 0.4 Neutral -0.3 0.6 Neutral -0.2 0.9

GBP/USD Expensive 1.9 0.2 Neutral 0.3 0.2 Neutral -1.0 0.2 Cheap -1.2 0.3

USD/JPY Neutral 0.7 0.3 Neutral 0.5 0.3 Neutral 0.5 0.4 Expensive 1.7 0.6

AUD/USD Very Expensive 2.1 0.4 Neutral 0.2 0.3 Neutral -0.8 0.4 Cheap -1.1 0.5

NZD/USD Neutral 0.4 0.3 Neutral -0.6 0.3 Neutral -0.7 0.4 Neutral -0.7 0.6

USD/CAD Neutral -0.9 0.2 Cheap -1.5 0.2 Cheap -1.2 0.2 Cheap -1.3 0.3

AUD/NZD Neutral 0.8 0.2 Neutral -0.7 0.2 Cheap -1.5 0.2 Very Cheap -2.3 0.2

EUR/HUF Neutral 0.1 0.3 Neutral -0.4 0.3 Neutral -1.0 0.4 Neutral -0.8 0.6

EUR/CZK Neutral 0.3 0.5 Neutral 0.6 0.5 Neutral 0.4 0.6 Neutral 0.5 0.8

EUR/PLN Neutral -0.8 0.2 Cheap -1.5 0.2 Very Cheap -2.2 0.2 Cheap -1.5 0.5

EUR/RUB Neutral -0.2 0.8 Neutral -0.2 0.9 Neutral 0.1 1.3 Neutral 0.7 2.4

EUR/TRY Neutral -0.8 0.3 Cheap -1.2 0.4 Cheap -1.1 0.6 Neutral 0.4 1.2

USD/CHF Neutral 0.9 0.2 Neutral -0.3 0.2 Neutral -0.5 0.3 Neutral -0.7 0.4

USD/RUB Neutral -0.1 0.9 Neutral -0.3 0.9 Neutral 0.5 1.5 Neutral 0.9 2.6

12MS

ca

nd

ies

Ma

jor

s

Currency pairs

2W 3MC

om

mo

dit

yE

MO

th

er

1M

Note: The Z-Score is calculated on volatility adjusted 25-delta butterflies across tenors

’Overall Valuation’ is based on a weighted average of model outputs


Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation



Butterfly overview (2/2)

25-delta butterfly (percentile, volatility adjusted) by currency pair and across currency pairs

14 October 2015



EURNOK

EURSEK

USDNOK

USDSEKNOKSEK

EURUSD

EURGBP

EURJPY

EURCHF

GBPUSD

USDJPY

AUDUSD

NZDUSD

USDCAD

AUDNZD

EURHUF

EURCZK

EURPLN

EURRUB

EURTRY

USDCHF

USDRUB

EURAUD

EURNZDEURCAD

USDHUFUSDCZK

0

10

20

30

40

50

60

70

80

90

100

0 10 20 30 40 50 60 70 80 90 100

Percentile across

currencies, 5Y history

Percentile for single cross, 5Y history

Volatility Adjusted 3M 25-Delta Butterfly

Expensive

Exp

ensi

veC

hea

p

Cheap

Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation



Correlation overview (1/2)

14 October 2015

Correlation monitor – current levels (52-week window) and 10-week changes (arrows)

Highest correlation with … MSCI wld. 2Y swap spread 10Y US Yield Crude oil

Correlation monitor - current levels (52-week window) and 10-week changes (arrows)

USD

JPY 74% ↑

GBP 70% ↓ 56% ↓

CHF 28% ↑ 36% ↓ 30% ↓

AUD 57% ↓ 39% ↓ 62% ↑ 30% ↓

NZD 49% ↓ 39% ↓ 39% ↓ 29% ↓ 72% ↓

CAD 74% ↑ 49% ↑ 67% ↑ 28% ↑ 72% ↓ 64% ↓

SEK 38% ↓ 37% ↓ 43% ↑ 32% ↓ 36% ↓ 14% ↓ 38% ↓

NOK 27% ↓ 29% ↓ 52% ↑ 37% ↓ 58% ↓ 31% ↓ 55% ↓ 42% ↑

PLN 17% ↓ 15% ↓ 25% ↑ -12% ↑ 18% ↑ 1% ↓ 11% ↓ 18% ↑ 27% ↑

CZK 13% ↓ 12% ↓ 11% ↑ 29% ↑ 3% ↑ -11% ↑ 3% ↓ 26% ↑ 21% ↑ 9% ↓

HUF 17% ↑ 13% ↓ 26% ↑ -1% ↑ 21% ↑ 16% ↓ 17% ↑ 16% ↑ 32% ↑ 61% ↑ 10% ↑

RUB 34% ↑ 26% ↓ 40% ↑ 2% ↑ 48% ↑ 35% ↑ 59% ↑ 11% ↑ 46% ↓ 10% ↑ -2% ↓ 28% ↑

TRY 60% ↑ 41% ↓ 52% ↑ 24% ↓ 63% ↓ 55% ↓ 60% ↑ 8% ↓ 31% ↑ 17% ↑ -8% ↑ 29% ↑ 45% ↑

ZAR 55% ↓ 40% ↓ 68% ↑ 25% ↓ 73% ↑ 53% ↑ 59% ↓ 22% ↓ 59% ↑ 36% ↓ 0% ↑ 46% ↑ 52% ↓ 73% ↓

BRL 45% ↓ 34% ↓ 56% ↓ 30% ↑ 51% ↓ 41% ↑ 52% ↓ 26% ↓ 37% ↓ 29% ↑ -10% ↑ 25% ↓ 43% ↑ 59% ↓ 65% ↓

Notes: Correlations based on weekly changes using 52-week rolling window using EUR as numeraire. Arrows denote 10-week change in correlation. Source: Bloomberg.

NZDUSD JPY GBP CHF AUD RUB TRY ZARCAD SEK NOK PLN CZK HUF

# FX Corr. (10w chg.) Beta1 JPYZAR -76% -0.87*2 JPYTRY -65% -0.77*3 JPYRUB -63% -1.64*4 AUDJPY 62% 0.63*5 GBPJPY 62% 0.48*6 SEKZAR -61% -0.72*7 USDZAR -60% -0.6*8 EURZAR -60% -0.69*9 CADJPY 59% 0.51*

10 NOKJPY 56% 0.57*

# FX Corr. (10w chg.) Beta1 USDJPY 64% 0.12*2 AUDZAR 59% 0.13*3 EURNOK 58% 0.19*4 EURSEK 55% 0.17*5 SEKZAR 46% 0.17*6 NOKZAR 44% 0.13*7 EURZAR 44% 0.18*8 CADZAR 44% 0.14*9 NZDZAR 42% 0.14*

10 GBPZAR 41% 0.11*

# FX Corr. (10w chg.) Beta1 CADJPY 54% 0.07*2 USDJPY 52% 0.05*3 JPYRUB -49% -0.18*4 NZDRUB -42% -0.15*5 CHFRUB -41% -0.18*6 GBPRUB -40% -0.14*7 NZDCAD -40% -0.04*8 SEKRUB -38% -0.15*9 AUDRUB -38% -0.13*

10 AUDJPY 38% 0.06*

# FX Corr. (10w chg.) Beta1 JPYRUB -55% -0.52*2 NZDRUB -54% -0.48*3 USDRUB -53% -0.48*4 AUDRUB -53% -0.44*5 NOKJPY 50% 0.18*6 GBPRUB -49% -0.43*7 NOKSEK 47% 0.13*8 NZDNOK -47% -0.17*9 SEKRUB -46% -0.46*

10 EURRUB -46% -0.44*

Correlation monitor – current levels (52-week window) and 10-week changes (arrows). Significant betas (at 95% confidence level) are denoted by *.


Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation



Correlation overview (2/2)

14 October 2015

Highest correlation with … EUR/USD USD/JPY EUR/GBP EUR/CHF

EUR/SEK EUR/NOK EUR/CZK EUR/HUF

AUD/USD NZD/USD EUR/RUB EUR/PLN

# Asset Corr. (10w chg.) Beta1 EURGBP 70% 0.91*2 Ger. equit. -56% -0.32*3 Rel. equit. -55% -0.55*4 NZDUSD 54% 0.54*5 USDCAD -53% -0.76*6 IT10YGOV 44% 0.06*7 AUDUSD 44% 0.47*8 SP10YGOV 39% 0.05*9 EURCHF 38% 0.69*

10 USDJPY -37% -0.52*

# Asset Corr. (10w chg.) Beta1 Jap. equit. 67% 0.29*2 2Y swp. spr. 64% 0.12*3 US2YSWP 64% 0.11*4 US2YGOV 63% 0.1*5 US10YSWP 53% 0.05*6 10Y swp. spr. 53% 0.07*7 US10YGOV 52% 0.05*8 Gold -51% -0.29*9 US equit. 48% 0.31*

10 Rel. equit. -48% -0.29*

# Asset Corr. (10w chg.) Beta1 EURUSD 70% 0.54*2 Ger. equit. -59% -0.26*3 Itraxx -46% -0.56*4 EURCHF 43% 0.6*5 Global equit. -42% -0.29*6 US equit. -41% -0.28*7 VIX 40% 0*8 IT10YGOV 40% 0.04*9 SP10YGOV 40% 0.04*

10 Jap. equit. -38% -0.17*

# Asset Corr. (10w chg.) Beta1 EURGBP 43% 0.31*2 EURUSD 38% 0.21*3 Rel. equit. -30% -0.11*4 Itraxx -29% -0.26*5 Ger. equit. -25% -0.086 USDTRY -25% -0.137 NZDUSD 24% 0.138 IT10YGOV 21% 0.029 GR10YGOV 19% 0

10 EURPLN 18% 0.18

# Asset Corr. (10w chg.) Beta1 2Y swp. spr. 55% 0.17*2 EURNOK 40% 0.28*3 EURPLN -40% -0.23*4 10Y swp. spr. 35% 0.07*5 FX volatility -30% -0.03*6 USDCAD 29% 0.13*7 NZDUSD -27% -0.09*8 EURGBP -24% -0.19 EURUSD -19% -0.06

10 Copper -18% -0.04

# Asset Corr. (10w chg.) Beta1 2Y swp. spr. 58% 0.19*2 EURSEK 40% 0.59*3 10Y swp. spr. 29% 0.06*4 NZDUSD -25% -0.125 EURPLN -23% -0.26 G10 Carry -23% -0.137 USDCAD 21% 0.148 SP10YGOV -21% -0.019 IT10YGOV -17% -0.01

10 EURUSD -17% -0.08

# Asset Corr. (10w chg.) Beta1 IT10YGOV 33% 0.01*2 SP10YGOV 31% 0.01*3 EURCHF 26% 0.124 NZDUSD 25% 0.065 USDTRY -23% -0.056 G10 Carry 20% 0.067 Itraxx -20% -0.088 FX volatility -18% -0.019 US2YSWP -17% -0.01

10 USDCAD -17% -0.06

# Asset Corr. (10w chg.) Beta1 EURPLN 61% 0.61*2 Itraxx -38% -0.33*3 Ger. equit. -36% -0.11*4 VIX 35% 0*5 Global equit. -34% -0.17*6 FX volatility 33% 0.05*7 Zinc -30% -0.09*8 IT10YGOV 29% 0.02*9 US equit. -27% -0.13*

10 SP10YGOV 27% 0.02*

# Asset Corr. (10w chg.) Beta1 NZDUSD 69% 0.65*2 USDCAD -63% -0.84*3 G10 Carry 58% 0.68*4 USDTRY -46% -0.4*5 EURUSD 44% 0.41*6 Global equit. 42% 0.36*7 Copper 38% 0.24*8 FX volatility -34% -0.09*9 US equit. 33% 0.27*

10 Gold 29% 0.21*

# Asset Corr. (10w chg.) Beta1 AUDUSD 69% 0.74*2 USDCAD -62% -0.89*3 EURUSD 54% 0.53*4 USDTRY -41% -0.39*5 G10 Carry 41% 0.51*6 Gold 35% 0.28*7 EURGBP 33% 0.42*8 EURSEK -27% -0.83*9 Copper 26% 0.17

10 EURNOK -25% -0.53

# Asset Corr. (10w chg.) Beta1 VIX 55% 0.01*2 Global equit. -53% -1.38*3 US equit. -51% -1.28*4 Ger. equit. -48% -0.78*5 Crude oil -46% -0.44*6 Itraxx -44% -2*7 EURGBP 40% 1.49*8 G10 Carry -40% -1.44*9 US10YSWP -38% -0.15*

10 US10YGOV -37% -0.14*

# Asset Corr. (10w chg.) Beta1 FX volatility 41% 0.06*2 EURSEK -40% -0.68*3 Zinc -39% -0.12*4 Itraxx -31% -0.27*5 IT10YGOV 27% 0.02*6 EURGBP 25% 0.187 Global equit. -25% -0.128 Ger. equit. -24% -0.089 VIX 24% 0

10 EURNOK -23% -0.27

Correlation monitor – current levels (52-week window) and 10-week changes (arrows). Significant betas (at 95% confidence level) are denoted by *.


Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation



Disclosures

This research report has been prepared by Danske Bank Markets, a division of Danske Bank A/S (‘Danske Bank’). The authors of this research report are Morten Thrane Helt, Senior Analyst, and Kristoffer Kjær Lomholt, Analyst.

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