Danske Bank FX Quant Strategydanskeresearch.danskebank.com/abo/FXQuantStrategy… · ·...

Danske Bank FX Quant StrategyMorten Thrane HeltSenior [email protected]+45 45 12 85 18

2 August 2016

Kristoffer Kjær [email protected]+45 45 12 85 29

Important disclosures and certifications are contained from page 25 of this presentation.

Follow us on Twitter @Danske_Research

Investment Research

www.danskebank.com/CI

2202 August 2016

Danske Bank FX Quant Strategy

• 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:

− Enter bearish 3M EUR/NOK risk reversal for a premium

− Buy 3M EUR/SEK ATM (at-the-money) put

• Implied FX volatility has fallen sharply over the past month post the UK EU referendum and volatility on maturities up to the three-month tenor is generally cheap or borderline cheap across most currency pairs. For longer maturities, our models suggest that the 12M tenors are generally more neutrally priced at the moment. Among the majors, especially 1M and 3M EUR/USD volatilities are cheap while USD/SEK volatility strands out in the Scandi FX sphere with maturities up to the 3M tenor being cheap, according to our valuation model.

• Looking at the signals from our spot monitor, we find that both EUR/SEK and EUR/NOK stand out as looking currently expensive. In particular, EUR/SEK is oversold trading 1.6 standard deviations above the model’s short-term fair value estimate of 9.4739. Fundamentally, we think that valuations and growth are supportive for the SEK medium term, and we are short EUR/SEK in our FX trading portfolio targeting 9.20 (see Danske Bank FX Trading Portfolio: Sell EUR/SEK, 29 July 2016, for details). In the EUR/SEK trade recommendation, we suggested to alternatively position for a lower EUR/SEK via a 3M bearish risk reversal. However, since we entered the spot trade in the FX trading portfolio, 3M EUR/SEK 25 delta risk reversal has traded lower, and we now favour buying a 3M at-the-money put option to position for a correction lower in EUR/SEK as implied volatility offers an attractive risk/reward, in our view.

• We recommend to express our model’s bearish EUR/NOK view via a bearish 3M EUR/NOK risk reversal. We recommend lifting the bought put strike to ATM against a premium as this strategy utilises cheap volatility and the positive option skew (which is expensive according to our skew monitor). Specifically, we recommend buying a 3M EUR/NOK put option with strike at 9.4550 and selling a 3M call option with strike at 9.6000. This strategy costs an initial up-front premium of 500 NOK pips and is profitable if EUR/NOK trades below 9.4050 at expiry on 2 November 2016.

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

http://danskeanalyse.danskebank.dk/abo/FXTradingPortfolio290716/$file/FXTradingPortfolio_290716.pdf

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

3302 August 2016

Top FX option trades

Trade # 1: Enter bearish 3M EUR/NOK risk reversal for a premium

Trade # 2: Buy 3M EUR/SEK ATM (at-the-money) put

Sell 3M EUR/NOK call option at strike 9.6000

Price: 500 pips (indicative prices), B/E at maturity of 9.4050

● EUR/NOK spot is overbought

PnL at maturityRationale

Strategy

Buy 3M EUR/NOK put option at strike 9.4550 (ATM)

Indicative prices (spot ref. 9.4550)

According to our models:

We recommend positioning for a lower EUR/NOK via a 3M risk reversal (with

bought ATM put) thereby utilising the cheap volatility and expensive skew

● Front-end EUR/NOK volatility is borderline cheap

● EUR/NOK option skew is expensive

-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

9.30 9.35 9.40 9.45 9.49 9.54 9.59

PnL, %

EUR/NOK at Maturity

Risk Reversal with 'ATM' put Spot Outright

Price: 1500 pips (indicative prices), B/E at maturity of 9.4150

PnL at maturityWe recommend positioning for a lower EUR/SEK by buying a 3M ATM put

thereby utilising the cheap front-end EUR/SEK volatility

According to our models:

● Front EUR/SEK volatility is cheap

Strategy

● EUR/SEK spot is overbought

Buy 3M EUR/SEK put option at strike 9.5650 (ATM)

● EUR/SEK option skew is neutral

Indicative prices (spot ref. 9.5650)

Rationale

-8.0

-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0

9.05 9.21 9.37 9.53 9.69 9.85 10.01

PnL, %

EUR/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

4402 August 2016

Spot summary

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 9.49 Neutral 1.1 ● Overbought 58 ● 9.40 -0.6%

EUR/SEK 9.59 Expensive 1.6 ● Overbought 67 ● 9.30 -2.8%

USD/NOK 8.48 Neutral 0.2 ● 49 ● 8.79 3.9%

USD/SEK 8.57 Neutral -0.8 ● 51 ● 8.69 1.6%

NOK/SEK 1.01 Neutral -0.5 ● 54 ● 0.99 -2.2%

EUR/USD 1.12 Neutral 0.4 ● 60 ● 1.07 -4.4%

EUR/GBP 0.85 Neutral 0.2 ● 63 ● 0.88 4.0%

EUR/JPY 113.94 Neutral -0.4 ● 41 ● 114.49 0.6%

EUR/CHF 1.08 Neutral -0.4 ● 43 ● 1.07 -1.1%

GBP/USD 1.32 Neutral 0.9 ● 45 ● 1.22 -8.1%

USD/JPY 101.76 Neutral -0.8 ● 38 ● 107.00 5.2%

AUD/USD 0.76 Expensive 1.5 ● Overbought 56 ● 0.71 -6.3%

NZD/USD 0.72 Neutral 0.6 ● 59 ● 0.68 -5.7%

USD/CAD 1.31 Neutral 0.5 ● 52 ● 1.31 0.2%

AUD/NZD 1.05 Cheap -2.0 ● Oversold 44 ● 1.04 -0.6%

EUR/HUF 311.8 Neutral -0.5 ● 38 ● 313.00 0.6%

EUR/CZK 27.03 Neutral 0.8 ● 46 ● 27.10 0.3%

EUR/PLN 4.35 Neutral -0.3 ● 36 ● 4.37 0.8%

EUR/RUB 74.9 Neutral 0.1 ● 69 ● 68.16 -8.6%

EUR/TRY 3.36 Neutral 0.7 ● 58 ● 3.42 2.3%

USD/CHF 0.97 Neutral -0.5 ● 36 ● 1.00 3.5%

USD/RUB 66.9 Neutral 0.0 ● 62 ● 63.70 -4.4%

Co

mm

od

ity

EM

Signal Signal

Sc

an

die

sM

ajo

rs

Ot

he

rTechnical

Short-term Financial

ModelsCurrency pairs Forecast

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/FXForecastUpdateJunePOSTBREXIT280616/$file/FXForecastUpdate_June_POST_BREXIT_280616.pdf

5502 August 2016

Volatility summary

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


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 7.7% 6.7% Neutral 7.9% 7.2% Neutral 8.3% 9.0% Neutral 8.8% 10.4%

EUR/SEK Neutral 6.1% 4.8% Neutral 6.0% 5.1% Neutral 6.5% 6.7% Neutral 7.2% 7.0%

USD/NOK Neutral 9.7% 9.6% Neutral 9.9% 10.3% Neutral 10.5% 13.7% Neutral 11.4% 12.7%

USD/SEK Cheap 7.7% 8.2% Cheap 7.9% 8.7% Cheap 8.5% 11.8% Neutral 9.7% 11.0%

NOK/SEK Neutral 6.3% 6.5% Neutral 6.6% 7.1% Neutral 7.2% 8.5% Neutral 7.8% 10.2%

EUR/USD Neutral 6.9% 6.2% Cheap 7.0% 7.0% Cheap 7.7% 8.9% Neutral 8.7% 9.9%

EUR/GBP Neutral 11.2% 9.7% Neutral 9.9% 11.9% Neutral 9.4% 15.0% Neutral 9.2% 11.5%

EUR/JPY Neutral 11.0% 15.4% Cheap 11.0% 15.7% Neutral 12.1% 16.4% Neutral 11.6% 12.0%

EUR/CHF Neutral 5.2% 4.8% Neutral 5.3% 4.9% Neutral 5.8% 7.0% Neutral 6.8% 6.5%

GBP/USD Neutral 12.5% 11.2% Neutral 11.0% 13.8% Neutral 10.1% 18.2% Neutral 9.9% 11.7%

USD/JPY Neutral 11.4% 15.3% Cheap 11.4% 14.5% Neutral 11.9% 13.4% Neutral 10.9% 11.1%

AUD/USD Neutral 10.2% 9.9% Neutral 10.2% 10.6% Neutral 10.5% 12.2% Neutral 11.5% 12.6%

NZD/USD Neutral 12.7% 12.2% Neutral 12.2% 12.6% Neutral 11.8% 13.1% Neutral 12.4% 13.8%

USD/CAD Neutral 8.3% 8.3% Neutral 8.2% 9.1% Neutral 8.4% 9.8% Neutral 9.0% 9.9%

AUD/NZD Expensive 10.1% 8.2% Neutral 9.7% 9.2% Neutral 8.8% 8.8% Expensive 8.7% 9.6%

EUR/HUF Neutral 5.2% 4.9% Neutral 5.5% 5.1% Neutral 6.0% 6.7% Neutral 7.0% 6.7%

EUR/CZK Neutral 2.1% 1.9% Neutral 2.2% 2.3% Cheap 2.5% 3.0% Cheap 3.3% 2.7%

EUR/PLN Neutral 6.0% 5.0% Neutral 6.5% 5.7% Neutral 7.3% 9.1% Neutral 8.3% 7.8%

EUR/TRY Neutral 10.4% 14.2% Cheap 10.4% 16.5% Neutral 11.7% 13.6% Neutral 13.3% 14.7%

EUR/RUB Neutral 15.9% 13.9% Neutral 16.1% 13.9% Neutral 16.7% 18.5% Neutral 18.6% 25.8%

USD/CHF Neutral 6.9% 7.1% Neutral 7.2% 7.3% Cheap 7.7% 8.2% Neutral 8.6% 9.5%

USD/RUB Neutral 16.0% 14.1% Neutral 16.2% 13.3% Neutral 16.8% 18.5% Neutral 18.0% 24.0%

EM

Currency pairs

Sc

an

die

sO

th

er

1M 3MM

ajo

rs

Co

mm

od

ity

2W 12MOption trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation

6602 August 2016

Skew summary

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 0.8 Expensive 1.0 1.0 Expensive 1.1 1.2 Expensive 1.3 1.5

EUR/SEK Neutral -0.1 0.4 Neutral 0.2 0.5 Neutral 0.3 0.7 Neutral 0.4 0.9

USD/NOK Neutral -0.3 0.6 Neutral -0.2 0.8 Neutral -0.5 1.1 Neutral -0.5 1.6

USD/SEK Neutral -0.1 0.5 Neutral 0.1 0.7 Neutral -0.4 0.9 Neutral -0.8 1.2

NOK/SEK Neutral 0.0 -0.1 Neutral -0.8 -0.3 Cheap -1.1 -0.5 Cheap -1.1 -0.6

EUR/USD Neutral 0.2 -0.4 Neutral 0.3 -0.5 Neutral 0.4 -0.9 Neutral 0.4 -1.5

EUR/GBP Neutral 0.7 0.2 Neutral 0.7 0.3 Neutral 0.8 0.4 Expensive 1.1 0.6

EUR/JPY Neutral -0.4 -1.3 Neutral -0.4 -1.5 Neutral -0.1 -2.1 Neutral -0.3 -2.8

EUR/CHF Neutral -1.0 -0.9 Neutral -1.0 -1.3 Neutral -0.9 -1.8 Neutral -0.3 -2.3

GBP/USD Neutral 0.8 -0.4 Neutral 0.7 -0.5 Neutral 0.8 -0.9 Neutral 0.3 -1.6

USD/JPY Cheap -1.2 -1.2 Cheap -1.3 -1.3 Cheap -1.1 -1.5 Cheap -1.2 -1.7

AUD/USD Expensive 1.1 -0.6 Expensive 1.2 -0.8 Expensive 1.4 -1.3 Expensive 1.8 -2.2

NZD/USD Expensive 1.2 -0.5 Expensive 1.3 -0.7 Expensive 1.5 -1.1 Expensive 1.7 -2.0

USD/CAD Neutral -0.5 0.5 Neutral -0.5 0.7 Neutral -0.9 0.9 Cheap -1.2 1.2

AUD/NZD Expensive 1.4 0.2 Expensive 1.5 0.2 Expensive 1.3 0.2 Expensive 1.2 0.1

EUR/HUF Neutral 0.6 0.9 Neutral -0.2 0.9 Neutral -1.0 1.2 Very Cheap -2.4 1.6

EUR/CZK Cheap -1.2 -0.3 Cheap -1.2 -0.4 Cheap -1.6 -0.8 Cheap -1.9 -1.1

EUR/PLN Neutral 0.3 0.8 Neutral 0.2 1.1 Neutral -0.4 1.6 Cheap -1.3 2.1

EUR/RUB Neutral 0.3 1.8 Neutral 0.3 2.5 Neutral 0.0 3.5 Neutral -0.7 5.1

EUR/TRY Neutral 0.9 1.4 Neutral 0.6 1.8 Neutral -0.3 2.5 Neutral -0.8 3.9

USD/CHF Very Cheap -2.3 -0.5 Very Cheap -2.4 -0.7 Very Cheap -2.5 -0.9 Very Cheap -2.1 -1.0

USD/RUB Neutral 0.0 2.1 Neutral 0.1 2.8 Neutral -0.5 3.8 Neutral -0.8 5.5

Co

mm

od

ity

EM

Ot

he

r1M 12M

Sc

an

die

sM

ajo

rs

Currency pairs

2W 3M


For more details click on: Skew Appendix

Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation

7702 August 2016

Carry summary

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 -0.17 -1.3% -0.19 -1.5% -0.19 -1.5% -0.16 -1.4%

EUR/SEK 0.06 0.4% 0.06 0.4% 0.05 0.3% 0.02 0.2%

USD/NOK 0.00 0.0% 0.00 0.0% 0.00 0.0% 0.02 0.2%

USD/SEK 0.23 1.7% 0.24 1.9% 0.22 1.9% 0.18 1.8%

NOK/SEK 0.27 1.7% 0.28 1.9% 0.25 1.8% 0.20 1.6%

EUR/USD -0.20 -1.4% -0.22 -1.5% -0.20 -1.6% -0.19 -1.7%

EUR/GBP -0.07 -0.8% -0.09 -0.9% -0.10 -0.9% -0.10 -0.9%

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

EUR/CHF 0.09 0.5% 0.11 0.6% 0.09 0.5% 0.08 0.5%

GBP/USD -0.04 -0.5% -0.06 -0.6% -0.06 -0.7% -0.07 -0.7%

USD/JPY 0.09 1.1% 0.12 1.3% 0.12 1.4% 0.15 1.6%

AUD/USD 0.11 1.1% 0.12 1.2% 0.10 1.1% 0.08 0.9%

NZD/USD 0.14 1.8% 0.15 1.8% 0.14 1.6% 0.11 1.3%

USD/CAD 0.02 0.2% 0.03 0.2% 0.02 0.1% 0.02 0.1%

AUD/NZD -0.07 -0.7% -0.06 -0.6% -0.06 -0.5% -0.05 -0.4%

EUR/HUF -0.22 -1.1% -0.25 -1.4% -0.22 -1.3% -0.18 -1.2%

EUR/CZK -0.04 -0.1% -0.11 -0.3% -0.12 -0.3% 0.06 0.2%

EUR/PLN -0.37 -2.2% -0.38 -2.5% -0.31 -2.3% -0.26 -2.1%

EUR/RUB 0.00 0.0% -0.75 -12.0% 0.00 0.0% -0.56 -10.5%

EUR/TRY -0.95 -9.8% -1.03 -10.7% -0.87 -10.2% -0.78 -10.4%

USD/CHF 0.27 1.8% 0.29 2.1% 0.27 2.1% 0.25 2.1%

USD/RUB -0.58 -9.3% -0.64 -10.4% -0.55 -9.3% -0.48 -8.7%Ot

he

rC

om

mo

dit

yE

M

2W

Currency pairs

Sc

an

die

sM

ajo

rs

1M 3M 12MOption trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation

8802 August 2016

Appendix

Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation

9902 August 2016

Spot overview (1/3)

Short-term financial models (STFM) – Overview

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

EUR/NOK 9.493 9.3257 Overbought 1.8% 1.1 0.4

EUR/SEK 9.591 9.4739 Overbought 1.2% 1.6 0.4

USD/NOK 8.478 8.4091 0.8% 0.2 0.8

USD/SEK 8.566 8.7207 -1.8% -0.8 0.3

NOK/SEK 1.010 1.0207 -1.0% -0.5 0.5

EUR/USD 1.120 1.1171 0.2% 0.4 0.2

EUR/GBP 0.848 0.8446 0.5% 0.2 0.1

EUR/JPY 113.94 118.17 -3.6% -0.4 -0.1

EUR/CHF 1.082 1.0968 -1.4% -0.4 0.1

GBP/USD 1.320 1.3061 1.0% 0.9 -0.1

USD/JPY 101.76 105.42 -3.5% -0.8 -0.1

AUD/USD 0.756 0.7260 Overbought 4.1% 1.5 0.2

NZD/USD 0.721 0.7063 2.1% 0.6 0.1

USD/CAD 1.312 1.3017 0.8% 0.5 0.4

AUD/NZD 1.048 1.0909 Oversold -4.0% -2.0 0.0

EUR/HUF 311.770 314.3473 -0.8% -0.5 0.0

EUR/CZK 27.032 27.0301 0.0% 0.8 -0.2

EUR/PLN 4.351 4.3507 0.0% -0.3 -0.3

EUR/RUB 74.916 74.5149 0.5% 0.1 -0.4

EUR/TRY 3.359 3.2616 3.0% 0.7 0.1

USD/CHF 0.966 0.9772 -1.1% -0.5 -0.1

USD/RUB 66.907 66.6974 0.3% 0.0 0.0

EUR/AUD 1.482 1.5223 Oversold -2.6% -1.2 0.3

EUR/NZD 1.552 1.5821 -1.9% -0.4 0.5

EUR/CAD 1.469 1.4555 0.9% 0.6 0.2

USD/HUF 278.460 281.0071 -0.9% -0.3 0.1

USD/CZK 24.143 24.1142 0.1% -0.1 0.1

Sc

an

die

sM

ajo

rs

Co

mm

od

it

yE

MO

th

er


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

101002 August 2016

Spot overview (2/3)

Short-term financial models (STFM) – Overview

1st

biggest misalignment: 2nd

biggest misalignment: 3rd

biggest misalignment:

AUD/NZD(Model estimate:1.091) EUR/SEK(Model estimate:9.474) AUD/USD(Model estimate:0.726)

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

AUD/NZD EUR/AUD USD/SEK NOK/SEK EUR/HUF NZD/USD EUR/TRY EUR/NOK AUD/USD EUR/SEK

Dev

iati

on (s

tdev

)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 MarketsSource: Bloomberg, Danske Bank Markets

Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation

111102 August 2016

Spot overview (3/3)

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 9.4612 1.8% 9.2484 / 9.4958 9.3940 9.3480 9.2408 / 9.517 21.3 57.9

EUR/SEK 9.5725 1.8% 9.5010 9.4933 9.3953 9.3861 / 9.5996 46.1 66.7

USD/NOK 8.4515 1.3% 8.2549 / 8.6451 8.4916 8.3825 8.2812 / 8.6106 18.8 49.4

USD/SEK 8.5511 1.4% 8.5353 8.5814 8.4265 8.4091 / 8.7016 30.2 51.4

NOK/SEK 1.0118 0.6% 1.0004 / 1.0184 1.0106 1.0050 1.004 / 1.0172 15.6 53.9

EUR/USD 1.1195 0.5% 1.0917 / 1.1261 1.1063 1.1155 1.0952 / 1.1209 19.2 60.4

EUR/GBP 0.8463 0.9% 0.8266 0.8418 0.8118 0.8251 / 0.8627 27.1 62.9

EUR/JPY 113.8600 -0.3% 110.9446 / 119.1327115.2700 117.3140 110.83 / 118.47 18.6 41.3

EUR/CHF 1.0818 -0.2% 1.0784 / 1.0924 1.0863 1.0894 1.079 / 1.0945 17.3 42.6

GBP/USD 1.3228 -0.3% 1.2461 / 1.4135 1.3143 1.3762 1.2798 / 1.3481 20.4 44.7

USD/JPY 101.7100 -0.8% 100.0493 / 107.4380104.1455 105.1924 100 / 107.49 23.0 37.6

AUD/USD 0.7577 1.1% 0.7371 / 0.7659 0.7539 0.7444 0.7408 / 0.7676 12.4 56.0

NZD/USD 0.7210 0.5% 0.6945 / 0.7328 0.7137 0.7058 0.6952 / 0.7325 19.1 59.0

USD/CAD 1.3071 1.2% 1.2801 / 1.3242 1.3061 1.2978 1.2832 / 1.3253 12.8 51.9

AUD/NZD 1.0509 0.6% 1.0323 / 1.0738 1.0567 1.0549 1.0313 / 1.0772 24.1 44.0

EUR/HUF 311.1100 -1.9% 310.7370 / 318.3770313.6290 313.9676 310.68 / 317.69 20.7 37.7

EUR/CZK 27.0290 -0.3% 27.0051 27.0307 27.0473 26.936 / 27.126 36.1 45.6

EUR/PLN 4.3337 -1.8% 4.3306 / 4.4620 4.3873 4.3935 4.3268 / 4.4569 14.7 36.3

EUR/RUB 74.6016 5.0% 68.9242 / 74.2716 71.5580 72.3620 69.3028 / 75.074 23.7 68.5

EUR/TRY 3.3483 3.6% 3.2136 3.3036 3.2844 3.171 / 3.4109 29.1 58.1

USD/CHF 0.9663 -0.7% 0.9617 / 0.9958 0.9819 0.9770 0.9636 / 0.995 20.6 35.9

USD/RUB 66.6465 4.5% 62.3916 / 66.7586 64.6959 64.8947 62.6107 / 67.45 21.7 62.1Ot

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

121202 August 2016

Volatility overview (1/5)

Straddle histograms



2W 1M 3M 1Y

EUR/NOK 33% 30% 25% 33%

EUR/SEK 37% 31% 24% 27%

USD/NOK 50% 44% 43% 40%

USD/SEK 60% 56% 52% 55%

NOK/SEK 47% 39% 36% 36%

EUR/USD 59% 52% 53% 54%

EUR/GBP 22% 23% 24% 33%

EUR/JPY 41% 37% 33% 41%

EUR/CHF 28% 25% 23% 31%

GBP/USD 24% 27% 29% 37%

USD/JPY 35% 32% 30% 44%

AUD/USD 48% 47% 44% 52%

NZD/USD 43% 41% 43% 50%

USD/CAD 41% 35% 36% 43%

AUD/NZD 30% 29% 36% 28%

EUR/HUF 52% 46% 44% 34%

EUR/CZK 66% 65% 62% 67%

EUR/PLN 52% 52% 47% 50%

EUR/TRY 48% 46% 51% 51%

EUR/RUB 21% 20% 28% 26%

USD/CHF 60% 54% 52% 39%

USD/RUB 17% 18% 23% 42%

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

Co

mm

od

ity

1M: EURRUB (Most expensive) 1M: EURCZK (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: EURCHF (Most expensive) 3M: EURCZK (Cheapest)

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

0%

5%

10%

15%

20%

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

0%

5%

10%

15%

20%

25%

30%

35%

9%6%3%0%-3%-6%-9%Percentage change in spot

Break even

at --2.64%

Break even at

+4.86% Break even

at --0.49%

Break even

at +0.54%

0%

5%

10%

15%

20%

25%

30%


0%

5%

10%

15%

20%


Break even

at --2.41%

Break even

at +2.24%

Break even

at --0.92%

Break even

at +1.10%

0%

5%

10%


Break even

at --2.51%

Break even

at +27.31%

0%

5%

10%


Break even

at --2.69%Break even

at +2.48%

Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation

131302 August 2016


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.


Top 3 expensive Top 3 expensive Top 3 expensive

1 EUR/CZK 700 pips 890 pips 0.8 36.1 1 NOK/SEK 132 pips 155 pips 0.8 15.6 1 EUR/CZK 2500 pips 2730 pips 0.9 36.1

2 GBP/USD 243 pips 258 pips 0.9 20.4 2 EUR/CHF 156 pips 133 pips 1.2 17.3 2 NOK/SEK 311 pips 291 pips 1.1 15.6

3 NOK/SEK 115 pips 100 pips 1.2 15.6 3 USD/CZK 5569 pips 4478 pips 1.2 20.4 3 EUR/NOK 3806 pips 3146 pips 1.2 21.3

Top 3 cheapest Top 3 cheapest Top 3 cheapest

1 USD/JPY 603 pips 182 pips 3.3 23.0 1 EUR/TRY 2399 pips 815 pips 2.9 29.1 1 GBP/USD 2220 pips 533 pips 4.2 20.4

2 EUR/RUB 56416 pips 17889 pips 3.2 23.7 2 USD/JPY 749 pips 269 pips 2.8 23.0 2 EUR/GBP 1062 pips 320 pips 3.3 27.1

3 USD/HUF 94000 pips 34347 pips 2.7 19.9 3 EUR/JPY 764 pips 292 pips 2.6 18.6 3 USD/SEK 8577 pips 2920 pips 2.9 30.3

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/CZK

USD/JPY

NOK/SEK

EUR/TRY

EUR/CZK

GBP/USD

26.90

27.00

27.10

27.20

05/07 15/07 25/07 04/08 14/08

99.00

100.00

101.00

102.00

103.00

104.00

105.00

106.00

107.00

108.00

05/07 15/07 25/07 04/08 14/08

0.98

0.99

1.00

1.01

1.02

1.03

07/06 21/06 05/07 19/07 02/08 16/08 30/08

3.10

3.20

3.30

3.40

3.50

07/06 21/06 05/07 19/07 02/08 16/08 30/08

26.70

26.80

26.90

27.00

27.10

27.20

27.30

27.40

24/11 24/01 24/03 24/05 24/07 24/09

1.20

1.30

1.40

1.50

1.60

24/11 24/01 24/03 24/05 24/07 24/09

Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation

141402 August 2016


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

151502 August 2016





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

161602 August 2016



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

171702 August 2016

Skew overview (1/4)25-delta risk reversal (percentile, volatility adjusted) by currency pair and across currency pairs



EURNOK

EURSEKUSDNOKUSDSEK

NOKSEK

EURUSD

EURGBP

EURJPY

EURCHF

GBPUSD

USDJPY AUDUSD

NZDUSD

USDCAD

AUDNZD

EURHUF

EURCZK

EURPLN EURRUBEURTRY

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

181802 August 2016

Skew overview (2/4)25-delta risk reversals (Z-scores, volatility adjusted) by currency pairs and tenors

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

0.6 1.0 1.1 1.2 1.3 -0.1 0.2 0.3 0.4 0.4 -0.3 -0.2 -0.5 -0.7 -0.5


-0.1 0.1 -0.4 -0.8 -0.8 0.0 -0.8 -1.1 -1.1 -1.1 0.2 0.3 0.4 0.6 0.4


0.7 0.7 0.8 0.9 1.1 -0.4 -0.4 -0.1 -0.2 -0.3 -1.0 -1.0 -0.9 -0.6 -0.3

Vol Adjust. Z-Score

Vol Adjust. Z-Score

Vol Adjust. Z-Score

1M Risk Reversal History


USD/SEK

EUR/GBP EUR/JPY EUR/CHF

NOK/SEK EUR/USD


EUR/NOK EUR/SEK USD/NOK

-0.5

0

0.5

1

1.5

2

2.5

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6

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

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-0.500.000.50

1.00

1.50

2.00

2.50

3.00

3.50

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-1.50

-1.00

-0.50

0.00

0.50

1.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-3.50

-3.00

-2.50

-2.00

-1.50

-1.00

-0.50

0.00

0.50

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-4.00

-2.00

0.00

2.00

4.00

6.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6



0.8 0.7 0.8 0.7 0.3 -1.2 -1.3 -1.1 -1.2 -1.2 1.1 1.2 1.4 1.7 1.8


1.2 1.3 1.5 1.7 1.7 -0.5 -0.5 -0.9 -1.1 -1.2 1.4 1.5 1.3 1.3 1.2


0.6 -0.2 -1.0 -1.8 -2.4 -1.2 -1.2 -1.6 -1.8 -1.9 0.3 0.2 -0.4 -0.9 -1.3

USD/CAD AUD/NZD

EUR/CZK EUR/PLN

USD/JPY AUD/USD

Vol Adjust. Z-Score

Vol Adjust. Z-Score

EUR/HUF


Vol Adjust. Z-Score

NZD/USD

GBP/USD

-7.00-6.00-5.00-4.00-3.00-2.00-1.000.001.002.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-0.80

-0.60

-0.40

-0.20

0.00

0.20

0.40

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


0.00

1.00

2.00

3.00

4.00

5.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


0.00

1.00

2.00

3.00

4.00

5.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6



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

191902 August 2016

Skew overview (3/4)


0.8 0.7 0.8 0.7 0.3 -1.2 -1.3 -1.1 -1.2 -1.2 1.1 1.2 1.4 1.7 1.8


1.2 1.3 1.5 1.7 1.7 -0.5 -0.5 -0.9 -1.1 -1.2 1.4 1.5 1.3 1.3 1.2


0.6 -0.2 -1.0 -1.8 -2.4 -1.2 -1.2 -1.6 -1.8 -1.9 0.3 0.2 -0.4 -0.9 -1.3

USD/CAD AUD/NZD

EUR/CZK EUR/PLN

USD/JPY AUD/USD

Vol Adjust. Z-Score

Vol Adjust. Z-Score

EUR/HUF


Vol Adjust. Z-Score

NZD/USD

GBP/USD

-7.00-6.00-5.00-4.00-3.00-2.00-1.000.001.002.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-0.80

-0.60

-0.40

-0.20

0.00

0.20

0.40

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


0.00

1.00

2.00

3.00

4.00

5.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


0.00

1.00

2.00

3.00

4.00

5.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6



0.3 0.3 0.0 -0.4 -0.7 0.9 0.6 -0.3 -0.8 -0.8 -2.3 -2.4 -2.5 -2.3 -2.1


0.0 0.1 -0.5 -0.7 -0.8 0.3 0.1 0.0 0.3 0.4 -0.2 -0.4 -0.4 -0.2 0.1


1.1 1.3 1.3 1.3 1.2 0.1 0.2 -0.5 -1.1 -1.1 -0.7 -0.8 -1.1 -1.3 -1.3

Vol Adjust. Z-Score

EUR/CAD USD/HUF USD/CZK

Vol Adjust. Z-Score

EUR/TRY USD/CHF

EUR/AUD EUR/NZDUSD/RUB

Vol Adjust. Z-Score

EUR/RUB

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


0.00

1.00

2.00

3.00

4.00

5.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

2.50

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-1.00

0.00

1.00

2.00

3.00

4.00

5.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6



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



Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation

202002 August 2016

Skew overview (4/4)


0.3 0.3 0.0 -0.4 -0.7 0.9 0.6 -0.3 -0.8 -0.8 -2.3 -2.4 -2.5 -2.3 -2.1


0.0 0.1 -0.5 -0.7 -0.8 0.3 0.1 0.0 0.3 0.4 -0.2 -0.4 -0.4 -0.2 0.1


1.1 1.3 1.3 1.3 1.2 0.1 0.2 -0.5 -1.1 -1.1 -0.7 -0.8 -1.1 -1.3 -1.3

Vol Adjust. Z-Score

EUR/CAD USD/HUF USD/CZK

Vol Adjust. Z-Score

EUR/TRY USD/CHF

EUR/AUD EUR/NZDUSD/RUB

Vol Adjust. Z-Score

EUR/RUB

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


0.00

1.00

2.00

3.00

4.00

5.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

2.50

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6


-1.00

0.00

1.00

2.00

3.00

4.00

5.00

Au

g-1

5

Sep

-15

Oct

-15

Nov

-15

De

c-1

5

Jan

-16

Feb-

16

Mar

-16

Ap

r-1

6

May

-16

Jun-

16

Jul-1

6



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



Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation

212102 August 2016

Butterfly overview (1/2)Butterfly valuation based on model outputs


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 -0.3 0.2 Neutral -0.3 0.2 Neutral -0.7 0.3 Cheap -1.1 0.3

EUR/SEK Neutral -0.9 0.1 Neutral -0.8 0.1 Neutral -1.0 0.2 Neutral -0.9 0.3

USD/NOK Neutral 0.2 0.2 Neutral 0.7 0.2 Neutral 0.1 0.3 Neutral -0.2 0.4

USD/SEK Neutral 0.7 0.2 Very Expensive 2.2 0.2 Expensive 1.1 0.3 Neutral 1.0 0.4

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

EUR/USD Expensive 2.0 0.2 Expensive 2.0 0.2 Expensive 1.1 0.3 Neutral 0.5 0.4

EUR/GBP Neutral -0.5 0.2 Neutral -0.6 0.2 Cheap -1.0 0.3 Cheap -1.4 0.3

EUR/JPY Neutral 0.7 0.4 Neutral 0.7 0.4 Neutral 0.5 0.6 Expensive 1.1 0.8

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

GBP/USD Cheap -1.3 0.2 Neutral -1.0 0.2 Cheap -1.5 0.3 Cheap -1.6 0.3

USD/JPY Neutral 0.4 0.4 Neutral 0.5 0.4 Neutral 0.7 0.5 Expensive 1.1 0.7

AUD/USD Neutral -0.4 0.2 Neutral -0.7 0.2 Neutral -0.9 0.3 Cheap -1.1 0.5

NZD/USD Neutral -0.9 0.2 Cheap -1.2 0.2 Neutral -1.0 0.3 Cheap -1.4 0.5

USD/CAD Neutral 0.0 0.2 Neutral -0.1 0.2 Neutral -0.9 0.2 Cheap -1.1 0.3

AUD/NZD Cheap -1.3 0.1 Cheap -1.4 0.1 Cheap -1.4 0.1 Cheap -1.6 0.2

EUR/HUF Neutral 0.9 0.2 Neutral -0.4 0.2 Cheap -1.8 0.3 Very Cheap -2.3 0.4

EUR/CZK Expensive 1.6 0.5 Neutral 0.5 0.3 Very Expensive 2.9 0.9 Expensive 1.5 0.9

EUR/PLN Neutral 0.5 0.2 Neutral -0.2 0.2 Neutral -0.8 0.3 Neutral -0.9 0.6

EUR/RUB Neutral -0.8 0.2 Cheap -1.3 0.2 Cheap -1.3 0.4 Cheap -1.1 1.0

EUR/TRY Neutral 0.2 0.3 Neutral 0.6 0.3 Neutral -0.1 0.5 Neutral 0.0 1.0

USD/CHF Very Expensive 2.3 0.3 Expensive 1.6 0.2 Expensive 1.2 0.3 Expensive 1.5 0.4

USD/RUB Neutral -0.8 0.3 Cheap -1.0 0.3 Cheap -1.6 0.5 Cheap -1.2 1.1

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

222202 August 2016

Butterfly overview (2/2)25-delta butterfly (percentile, volatility adjusted) by currency pair and across currency pairs



EURNOK

EURSEK

USDNOK

USDSEK

NOKSEK

EURUSD

EURGBP

EURJPY

EURCHF

GBPUSD

USDJPY

AUDUSD

NZDUSD

USDCAD

AUDNZD

EURHUF

EURCZK

EURPLN

EURRUB

EURTRY

USDCHF

USDRUB

EURAUD

EURNZD

EURCAD

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

en

siv

eC

heap

Cheap

Option trades

Spot summary

Volatility summary

Skew summary

Carry summary

Appendix

Spot

Volatility

Skew

Butterfly

Correlation

232302 August 2016

Correlation overview (1/2)

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 22% ↓

GBP 32% ↓ -23% ↓

CHF 12% ↓ 26% ↓ -8% ↓

AUD 43% ↓ -15% ↑ 34% ↓ -5% ↓

NZD 21% ↓ 10% ↑ 9% ↓ 16% ↑ 72% ↑

CAD 62% ↑ 2% ↓ 41% ↓ 14% ↑ 68% ↓ 48% ↓

SEK 17% ↑ -23% ↓ 31% ↓ -16% ↓ 49% ↓ 17% ↓ 51% ↓

NOK 26% ↓ -12% ↓ 29% ↓ 0% ↓ 57% ↓ 29% ↓ 60% ↑ 60% ↑

PLN -1% ↓ -11% ↓ 19% ↓ 6% ↓ 39% ↓ 32% ↓ 36% ↓ 42% ↓ 30% ↓

CZK 4% ↑ 5% ↓ 6% ↓ 9% ↓ 15% ↑ 4% ↑ 12% ↑ 20% ↑ 34% ↑ -4% ↓

HUF -5% ↓ 5% ↓ 29% ↓ -11% ↓ 31% ↓ 30% ↓ 28% ↓ 29% ↓ 48% ↓ 38% ↓ 23% ↑

RUB 49% ↑ 4% ↓ 29% ↓ 10% ↓ 56% ↑ 31% ↓ 64% ↑ 37% ↑ 54% ↓ 41% ↓ -2% ↓ 10% ↓

TRY 48% ↓ 19% ↑ 28% ↓ 13% ↓ 72% ↓ 63% ↑ 63% ↓ 32% ↑ 52% ↓ 42% ↓ 10% ↑ 42% ↓ 59% ↑

ZAR 20% ↓ -7% ↓ 21% ↓ -9% ↓ 70% ↓ 55% ↑ 53% ↓ 42% ↓ 63% ↓ 53% ↓ 14% ↓ 54% ↓ 51% ↓ 68% ↓

BRL 25% ↓ -17% ↓ 12% ↓ 15% ↓ 55% ↓ 39% ↑ 42% ↓ 21% ↓ 43% ↑ 25% ↓ -3% ↓ 2% ↓ 57% ↑ 51% ↓ 44% ↓

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

RUB TRY ZARCAD SEK NOK PLN CZK HUFNZDUSD JPY GBP CHF AUD

# FX Corr. (10w chg.) Beta1 JPYRUB -74% -1.2*2 JPYZAR -71% -1.17*3 EURAUD -71% -0.64*4 AUDJPY 71% 0.87*5 AUDCHF 70% 0.67*6 USDRUB -70% -0.88*7 CHFRUB -70% -0.97*8 AUDCZK 69% 0.61*9 CADJPY 67% 0.69*

10 EURRUB -66% -0.94*

# FX Corr. (10w chg.) Beta1 AUDNZD 75% 0.14*2 EURGBP 72% 0.2*3 EURCAD 72% 0.21*4 CADNOK 72% 0.18*5 SEKZAR -71% -0.1*6 USDZAR -70% -0.1*7 EURZAR -69% -0.1*8 CHFZAR -68% -0.11*9 GBPZAR -68% -0.1*

10 NOKZAR -68% -0.08*

# FX Corr. (10w chg.) Beta1 USDJPY 62% 0.12*2 GBPJPY 57% 0.14*3 GBPHUF 57% 0.08*4 AUDNZD 56% 0.08*5 GBPCZK 54% 0.08*6 JPYRUB -53% -0.2*7 CADJPY 53% 0.13*8 GBPCHF 52% 0.09*9 AUDJPY 51% 0.15*

10 JPYTRY -51% -0.14*

# FX Corr. (10w chg.) Beta1 JPYRUB -70% -0.43*2 USDRUB -70% -0.33*3 CHFRUB -70% -0.37*4 USDCAD -66% -0.15*5 CADCZK 65% 0.18*6 EURCAD -64% -0.18*7 EURRUB -64% -0.34*8 CADCHF 64% 0.18*9 SEKRUB -59% -0.31*

10 NZDRUB -59% -0.29*

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

242402 August 2016

Correlation overview (2/2)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 Gold 56% 0.32*2 NZDUSD 53% 0.37*3 2Y swp. spr. 52% 0.11*4 USDJPY -52% -0.38*5 Rel. equit. -51% -0.46*6 US2YGOV -50% -0.09*7 Ger. equit. -50% -0.21*8 10Y swp. spr. 39% 0.09*9 US10YGOV -39% -0.05*

10 US2YSWP -37% -0.07*

# Asset Corr. (10w chg.) Beta1 Jap. equit. 74% 0.34*2 2Y swp. spr. 63% 0.15*3 US10YGOV 62% 0.12*4 US2YSWP 60% 0.15*5 Gold -59% -0.47*6 10Y swp. spr. 58% 0.12*7 US10YSWP 57% 0.11*8 G10 Carry 55% 0.67*9 US2YGOV 54% 0.14*

10 Ger. equit. 52% 0.3*

# Asset Corr. (10w chg.) Beta1 Rel. equit. -73% -0.74*2 2Y swp. spr. 72% 0.2*3 10Y swp. spr. 65% 0.17*4 Ger. equit. -52% -0.22*5 US10YGOV -50% -0.07*6 US10YSWP -47% -0.07*7 US2YGOV -47% -0.09*8 Jap. equit. -47% -0.16*9 US2YSWP -45% -0.09*

10 USDJPY -43% -0.32*

# Asset Corr. (10w chg.) Beta1 2Y swp. spr. -37% -0.07*2 10Y swp. spr. -30% -0.05*3 VIX -24% 04 Jap. equit. 21% 0.035 FX volatility -21% -0.026 G10 Carry 19% 0.087 Copper 18% 0.048 Gold -18% -0.059 GR10YGOV -17% 0

10 US10YGOV 16% 0.01

# Asset Corr. (10w chg.) Beta1 EURNOK 60% 0.34*2 Global equit. -58% -0.18*3 US equit. -57% -0.18*4 Itraxx -56% -0.29*5 G10 Carry -53% -0.24*6 VIX 51% 0*7 Ger. equit. -47% -0.1*8 Crude oil -47% -0.05*9 USDCAD 47% 0.24*

10 EURPLN 42% 0.31*

# Asset Corr. (10w chg.) Beta1 G10 Carry -67% -0.52*2 Global equit. -64% -0.34*3 EURSEK 60% 1.06*4 Ger. equit. -58% -0.21*5 2Y swp. spr. 58% 0.18*6 Itraxx -57% -0.52*7 US equit. -57% -0.31*8 VIX 56% 0*9 Crude oil -52% -0.11*

10 USDCAD 48% 0.43*

# Asset Corr. (10w chg.) Beta1 EURNOK 34% 0.04*2 Itraxx -22% -0.033 EURSEK 20% 0.054 US equit. -17% -0.015 Global equit. -15% -0.016 G10 Carry -14% -0.017 Aluminium -14% -0.018 SP10YGOV 13% 09 US10YGOV 13% 0

10 FX volatility 12% 0

# Asset Corr. (10w chg.) Beta1 USDTRY 52% 0.2*2 EURNOK 48% 0.3*3 VIX 42% 0*4 USDCAD 40% 0.22*5 FX volatility 39% 0.05*6 EURPLN 38% 0.31*7 G10 Carry -37% -0.18*8 AUDUSD -36% -0.14*9 Global equit. -35% -0.12*

10 Itraxx -30% -0.17*

# Asset Corr. (10w chg.) Beta1 G10 Carry 78% 0.95*2 NZDUSD 73% 0.71*3 USDTRY -66% -0.66*4 Global equit. 63% 0.53*5 USDCAD -61% -0.85*6 US equit. 55% 0.47*7 10Y swp. spr. 53% 0.19*8 Zinc 51% 0.25*9 Itraxx 46% 0.65*

10 Copper 45% 0.28*

# Asset Corr. (10w chg.) Beta1 AUDUSD 73% 0.75*2 USDTRY -61% -0.62*3 EURUSD 53% 0.75*4 USDCAD -50% -0.72*5 Gold 49% 0.4*6 Zinc 43% 0.22*7 G10 Carry 42% 0.52*8 FX volatility -37% -0.12*9 2Y swp. spr. 36% 0.08*

10 USDJPY -33% -0.34*

# Asset Corr. (10w chg.) Beta1 US equit. -68% -0.99*2 Global equit. -66% -0.94*3 Crude oil -64% -0.34*4 Ger. equit. -63% -0.6*5 VIX 58% 0*6 Itraxx -56% -1.34*7 EURNOK 54% 1.42*8 10Y swp. spr. -51% -0.07*9 EURUSD 49% 1.15*

10 2Y swp. spr. -47% -0.08*

# Asset Corr. (10w chg.) Beta1 Global equit. -53% -0.22*2 US equit. -50% -0.21*3 USDTRY 48% 0.23*4 VIX 48% 0*5 Itraxx -45% -0.31*6 USDCAD 44% 0.3*7 2Y10Y spr. -43% -0.07*8 Crude oil -42% -0.07*9 AUDUSD -42% -0.21*

10 EURSEK 42% 0.56*

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

2525

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.

Analyst certification. Each research analyst responsible for the content of this research report certifies that the views expressed in the research report accurately reflect the research analyst’s personal view about the financial instruments and issuers covered by the research report. Each responsible research analyst further certifies that no part of the compensation of the research analyst was, is or will be, directly or indirectly, related to the specific recommendations expressed in the research report.

Regulation. Danske Bank is authorised and subject to regulation by the Danish Financial Supervisory Authority and is subject to the rules and regulation of the relevant regulators in all other jurisdictions where it conducts business. Danske Bank is subject to limited regulation by the Financial Conduct Authority and the Prudential Regulation Authority (UK). Details on the extent of the regulation by the Financial Conduct Authority and the Prudential Regulation Authority are available from Danske Bank on request.

The research reports of Danske Bank are prepared in accordance with the Danish Society of Financial Analysts’ rules of ethics and the recommendations of the Danish Securities Dealers Association.

Conflicts of interest. Danske Bank has established procedures to prevent conflicts of interest and to ensure the provision of high-quality research based on research objectivity and independence. These procedures are documented in Danske Bank’s research policies. Employees within DanskeBank’s Research Departments have been instructed that any request that might impair the objectivity and independence of research shall be referred to Research Management and the Compliance Department. Danske Bank’s Research Departments are organised independently from and do not report to other business areas within Danske Bank.

Research analysts are remunerated in part based on the overall profitability of Danske Bank, which includes investment banking revenues, but do not receive bonuses or other remuneration linked to specific corporate finance or debt capital transactions.

Financial models and/or methodology used in this research report. Calculations and presentations in this research report are based on standard econometric tools and methodology as well as publicly available statistics for each individual security, issuer and/or country. Documentation can be obtained from the authors on request.

Risk warning. Major risks connected with recommendations or opinions in this research report, including a sensitivity analysis of relevant assumptions, are stated throughout the text.

Date of first publication. See the front page of this research report for the date of first publication.

2626

General disclaimer

This research has been prepared by Danske Bank Markets (a division of Danske Bank A/S). It is provided for informational purposes only. It does not constitute or form part of, and shall under no circumstances be considered as, an offer to sell or a solicitation of an offer to purchase or sell any relevant financial instruments (i.e. financial instruments mentioned herein or other financial instruments of any issuer mentioned herein and/or options, warrants, rights or other interests with respect to any such financial instruments) (‘Relevant Financial Instruments’).

The research report has been prepared independently and solely on the basis of publicly available information that Danske Bank considers to be reliable. While reasonable care has been taken to ensure that its contents are not untrue or misleading, no representation is made as to its accuracy or completeness and Danske Bank, its affiliates and subsidiaries accept no liability whatsoever for any direct or consequential loss, including without limitation any loss of profits, arising from reliance on this research report.

The opinions expressed herein are the opinions of the research analysts responsible for the research report and reflect their judgement as of the date hereof. These opinions are subject to change, and Danske Bank does not undertake to notify any recipient of this research report of any such change nor of any other changes related to the information provided in this research report.

This research report is not intended for, and may not be redistributed to, retail customers in the United Kingdom or the United States.

This research report is protected by copyright and is intended solely for the designated addressee. It may not be reproduced or distributed, in whole or in part, by any recipient for any purpose without Danske Bank’s prior written consent.

Disclaimer related to distribution in the United States

This research report was created by Danske Bank A/S and is distributed in the United States by Danske Markets Inc., a U.S. registered broker-dealer and subsidiary of Danske Bank A/S, pursuant to SEC Rule 15a-6 and related interpretations issued by the U.S. Securities and Exchange Commission. The research report is intended for distribution in the United States solely to ‘U.S. institutional investors’ as defined in SEC Rule 15a-6. Danske Markets Inc. accepts responsibility for this research report in connection with distribution in the United States solely to ‘U.S. institutional investors’.

Danske Bank is not subject to U.S. rules with regard to the preparation of research reports and the independence of research analysts. In addition, the research analysts of Danske Bank who have prepared this research report are not registered or qualified as research analysts with the NYSE or FINRA but satisfy the applicable requirements of a non-U.S. jurisdiction.

Any U.S. investor recipient of this research report who wishes to purchase or sell any Relevant Financial Instrument may do so only by contacting Danske Markets Inc. directly and should be aware that investing in non-U.S. financial instruments may entail certain risks. Financial instruments of non-U.S. issuers may not be registered with the U.S. Securities and Exchange Commission and may not be subject to the reporting and auditing standards of the U.S. Securities and Exchange Commission.

Date post:	11-Mar-2018
Category:	Documents
Upload:	hanguyet
View:	214 times
Download:	1 times

Danske Bank FX Quant Strategydanskeresearch.danskebank.com/abo/FXQuantStrategy… · ·...

Documents