[email protected] Relative Value Matrices
G10
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
6 March 2018
kumacapital
AUDCAD
AUDCHF
AUDJPY
AUDNZD
AUDUSD
CADJPY
CHFJPY
EURAUD
EURGBP
EURJPY
EURNOK
EURNZD
EURUSDGBPAUD
GBPCAD
GBPJPY
GBPNOK
GBPNZD
GBPSEK GBPUSD
NOKJPY
NOKSEK
NZDCAD
NZDCHF
NZDJPY
NZDUSD
SEKJPY USDCAD
USDCHF
USDJPY
USDNOK
USDSEK
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
-3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0%
One-week momentum (%)
On
e-w
ee
k m
om
en
tum
on
ew
eek
ago
(%
)
Recent strength correcting
Recent weakness correctingDowntrend could be developing
Uptrend could be developing
Scanning for Momentum Shifts Top right (bottom left) pairs could trend
higher (lower). Top left (bottom right) could correct lower (higher).
AUDCAD
AUDCHF
AUDJPY
AUDNZDAUDUSD
CADJPY
CHFJPY
EURAUD
EURGBP
EURJPY
EURNOK
EURNZD
EURUSD
GBPAUD
GBPCAD
GBPJPY
GBPNOK
GBPNZD
GBPSEK
GBPUSD
NOKJPY
NOKSEK
NZDCAD
NZDCHF
NZDJPY
NZDUSDSEKJPY
USDCAD
USDCHFUSDJPY
USDNOK
USDSEK
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
0 10 20 30 40 50 60 70 80 90 10014-day Relative Strength Index (RSI)
1Y
Z-sc
ore
of
5d
, 40
d m
ovi
ng
ave
rage
cro
sso
ver
mo
de
l
Vulnerable to a bounce
Vulnerable to a pullback
Are Recent Moves Stretched? Top right pairs have stretched uptrend
readings, overbought RSIs and could be vulnerable to a pullback. Bottom right pairs have stretched downtrends, oversold RSIs and could bounce.
AUDCADAUDCHF
AUDJPY
AUDNZDAUDUSD
CADJPY
CHFJPY
EURAUD
EURGBP
EURJPY
EURNOK
EURNZD
EURUSD
GBPAUD
GBPCAD
GBPJPY
GBPNOKGBPNZDGBPSEK
GBPUSD
NOKJPY
NOKSEK
NZDCAD
NZDCHF NZDJPYNZDUSD
SEKJPY
USDCAD
USDCHF
USDJPY
USDNOK
USDSEKEURCHF
EURCZKEURDKK
EURGBP
EURHUFEURILS
EURJPY
EURMXN
EURNOKEURNZD
EURPLN
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
-2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0
One-year z-score of one-month ATM volatility
On
e-m
on
th v
ola
tilit
y ri
sk-p
rem
ium
(AT
M-R
LZD
)
Rich gamma, cheap vega
Cheap gamma, rich vegaCheap gamma, vega
Rich gamma, vega
AUDCAD
AUDCHF
AUDJPY
AUDNZD
AUDUSDCADJPY
CHFJPY
EURAUD EURGBP
EURJPY
EURNOK EURNZD
EURUSDGBPAUD
GBPCAD
GBPJPY
GBPNOK
GBPNZD
GBPSEK
GBPUSD
NOKJPY
NOKSEKNZDCAD
NZDCHF
NZDJPY
NZDUSDSEKJPY
USDCAD
USDCHF
USDJPY
USDNOK
USDSEK
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
-6.0% -4.0% -2.0% 0.0% 2.0% 4.0%5-day, 40-day moving average model
On
e-m
on
th 2
5-d
elta
ris
k-re
vers
al
Trending lower, RR favors calls
Trending higher, RR favors puts Trending lower, RR favors puts
Trending higher, RR favors calls
AUDCAD
AUDCHF
AUDJPY
AUDNZD
AUDUSDCADJPY
CHFJPY
EURAUDEURGBP
EURJPY
EURNOKEURNZD
EURUSDGBPAUD
GBPCAD
GBPJPY
GBPNOK
GBPNZD
GBPSEK
GBPUSD
NOKJPY
NOKSEKNZDCAD
NZDCHF
NZDJPY
NZDUSDSEKJPY
USDCAD
USDCHF
USDJPY
USDNOK
USDSEK
EURCHF
EURCZK
EURDKK
EURGBPEURHUF
EURILS
EURJPY
EURMXN
EURNOK
EURNZDEURPLN
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0Up days/down days (one-year history, > 0.5%)
On
e-m
on
th 2
5-d
elta
ris
k-re
vers
al
High RR, low up/down ratio
Low RR, high up/down ratio
AUDCAD AUDCHF
AUDJPY
AUDNZDAUDUSD
CADJPY
CHFJPY
EURAUD
EURGBP
EURJPY
EURNOK
EURNZD
EURUSD
GBPAUD
GBPCAD
GBPJPY
GBPNOKGBPNZD GBPSEK
GBPUSD
NOKJPY
NOKSEK
NZDCAD
NZDCHFNZDJPYNZDUSD
SEKJPY
USDCAD
USDCHF
USDJPY
USDNOK
USDSEKEURCHF
EURCZKEURDKK
EURGBP
EURHUFEURILS
EURJPY
EURMXN
EURNOKEURNZD
EURPLN
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
-0.5% 0.0% 0.5% 1.0% 1.5% 2.0%1Y - 1M ATM volatility spreads
On
e-m
on
th v
ola
tilit
y ri
sk-p
rem
ium
(ATM
-R
LZD
)
Curves vulnerable to steepening
Curves vulnerable to flattening
How are 1-Month Vols Priced? Vols in the upper right are rich relative to
both history and realized volatility, while vols in the lower left are cheap against Are Risk-Reversals Priced with the Trend? Top right (bottom left) pairs
could trend higher (lower). Top left (bottom right) could correct lower (higher).
What's the Skew View? Pairs in the bottom right and top left have risk-
reversals that are dislocated from the ratio of up to down spot days. RRs could be cheap in the first case and rich in the second.
Vol Curves Vulnerable to Shifts Top left pairs are vol curve steepening
candidates (trading w/ inverted curves, rich gamma); bottom right are flattening
Screening for cheap call options and monitoring long 1M ATM call option performance. options in each column. The right side of the table tracks a simple strategy of buying a 21expiration. today's expiration.
Page 1 of 7
[email protected] Value Matrices: FX Options Overview
EMFX
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
6 March 2018
kumacapital
AUDSGD
CADSGD
CHFHUF
CHFMXN
CHFPLN
CHFSGD
CHFZAR
EURBRLEURCZK
EURHUF
EURILS
EURMXN
EURPLN
EURSGD
EURTRYEURZAR GBPSGD
NZDSGD
USDBRL
USDCZKUSDHUF
USDILS
USDINR
USDMXN
USDPLN
USDRUB
USDSGD
USDTHB
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
-1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0%
One-week momentum (%)
On
e-w
ee
k m
om
en
tum
on
ew
eek
ago
(%
)
Recent strength correcting
Recent weakness correctingDowntrend could be developing
Uptrend could be developing
Scanning for Momentum Shifts Top right (bottom left) pairs could trend
higher (lower). Top left (bottom right) could correct lower (higher).
AUDSGD
CADSGD
CHFHUF
CHFMXN
CHFPLN
CHFSGD
CHFZAR
EURBRL
EURCZK
EURHUF
EURILS
EURMXN
EURPLN
EURSGD
EURTRY
EURZAR
GBPSGD
NZDSGD
USDBRL
USDCZK
USDHUF
USDILS USDINR
USDMXN
USDPLN
USDRUB
USDSGDUSDTHB
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
0 10 20 30 40 50 60 70 80 90 10014-day Relative Strength Index (RSI)
1Y
Z-sc
ore
of
5d
, 40
d m
ovi
ng
ave
rage
cro
sso
ver
mo
de
l
Vulnerable to a bounce
Vulnerable to a pullback
Are Recent Moves Stretched? Top right pairs have stretched uptrend
readings, overbought RSIs and could be vulnerable to a pullback. Bottom right pairs have stretched downtrends, oversold RSIs and could bounce.
AUDSGD
CADSGD
CHFHUF
CHFMXN
CHFPLN
CHFSGD
CHFZAR
EURBRL
EURCZK
EURHUFEURILS
EURMXN EURPLN
EURSGDEURTRY
EURZAR
GBPSGD
NZDSGD
USDBRL
USDCZK
USDHUF
USDILS
USDINR
USDMXN
USDPLN
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5
One-year z-score of one-month ATM volatility
On
e-m
on
th v
ola
tilit
y ri
sk-p
rem
ium
(AT
M-R
LZD
)
Rich gamma, cheap vega
Cheap gamma, rich vegaCheap gamma, vega
Rich gamma, vega
AUDSGD
CADSGD CHFHUF
CHFMXN
CHFPLN
CHFSGDCHFZAR
EURBRL
EURCZK
EURHUF
EURILS
EURMXN
EURPLN
EURSGD
EURTRY
EURZAR GBPSGD
NZDSGD
USDBRLUSDCZK
USDHUF
USDILS
USDINRUSDMXN
USDPLN
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
-4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0%5-day, 40-day moving average model
On
e-m
on
th 2
5-d
elta
ris
k-re
vers
al
Trending lower, RR favors calls
Trending higher, RR favors puts Trending lower, RR favors puts
Trending higher, RR favors calls
AUDSGD
CADSGD CHFHUF
CHFMXN
CHFPLN
CHFSGDCHFZAR
EURBRL
EURCZK
EURHUF
EURILS
EURMXN
EURPLN
EURSGD
EURTRY
EURZARGBPSGD
NZDSGD
USDBRLUSDCZKUSDHUF
USDILS
USDINRUSDMXN
USDPLN
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
0.0 0.5 1.0 1.5 2.0Up days/down days (one-year history, > 0.5%)
On
e-m
on
th 2
5-d
elta
ris
k-re
vers
al
High RR, low up/down ratio
Low RR, high up/down ratio
AUDSGD
CADSGD
CHFHUF
CHFMXN
CHFPLN
CHFSGD
CHFZAR
EURBRL
EURCZK
EURHUFEURILS
EURMXNEURPLN
EURSGDEURTRY
EURZAR
GBPSGD
NZDSGD
USDBRL
USDCZK
USDHUF
USDILS
USDINR
USDMXN
USDPLN
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
0.0% 1.0% 2.0% 3.0% 4.0%1Y - 1M ATM volatility spreads
On
e-m
on
th v
ola
tilit
y ri
sk-p
rem
ium
(ATM
-R
LZD
)
Curves vulnerable to steepening
Curves vulnerable to flattening
How are 1-Month Vols Priced? Vols in the upper right are rich relative to
both history and realized volatility, while vols in the lower left are cheap against Are Risk-Reversals Priced with the Trend? Top right (bottom left) pairs
could trend higher (lower). Top left (bottom right) could correct lower (higher).
What's the Skew View? Pairs in the bottom right and top left have risk-
reversals that are dislocated from the ratio of up to down spot days. RRs could be cheap in the first case and rich in the second.
Vol Curves Vulnerable to Shifts Top left pairs are vol curve steepening
candidates (trading w/ inverted curves, rich gamma); bottom right are flattening
Page 2 of 7
[email protected] Value Matrices: FX Options Overview
AUD
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
6 March 2018
kumacapital
AUDCAD
AUDCHF
AUDDKK
AUDHKDAUDJPY
AUDNOK
AUDNZDAUDSEK
AUDSGDAUDUSD
EURAUD
-1.4%
-1.2%
-1.0%
-0.8%
-0.6%
-0.4%
-0.2%
0.0%
0.2%
0.4%
0.6%
-3.0% -2.0% -1.0% 0.0% 1.0% 2.0%
One-week momentum (%)
On
e-w
ee
k m
om
en
tum
on
ew
eek
ago
(%
)
Recent strength correcting
Recent weakness correctingDowntrend could be developing
Uptrend could be developing
Scanning for Momentum Shifts Top right (bottom left) pairs could trend
higher (lower). Top left (bottom right) could correct lower (higher).
AUDCAD
AUDCHF
AUDDKK
AUDHKD
AUDJPY
AUDNOK
AUDNZD
AUDSEK
AUDSGD
AUDUSD
EURAUD
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
0 10 20 30 40 50 60 70 80 90 10014-day Relative Strength Index (RSI)
1Y
Z-sc
ore
of
5d
, 40
d m
ovi
ng
ave
rage
cro
sso
ver
mo
de
l
Vulnerable to a bounce
Vulnerable to a pullback
Are Recent Moves Stretched? Top right pairs have stretched uptrend
readings, overbought RSIs and could be vulnerable to a pullback. Bottom right pairs have stretched downtrends, oversold RSIs and could bounce.
AUDCADAUDCHF
AUDDKK
AUDHKD
AUDJPY
AUDNOK
AUDNZD
AUDSEK
AUDSGDAUDUSD
EURAUDGBPAUD
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
-1.0 -0.5 0.0 0.5 1.0 1.5
One-year z-score of one-month ATM volatility
On
e-m
on
th v
ola
tilit
y ri
sk-p
rem
ium
(AT
M-R
LZD
)
Rich gamma, cheap vega
Cheap gamma, rich vegaCheap gamma, vega
Rich gamma, vega
AUDCAD
AUDCHF
AUDDKK
AUDHKD
AUDJPY
AUDNOK
AUDNZD
AUDSEK
AUDSGD
AUDUSD
EURAUD
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
-5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0%5-day, 40-day moving average model
On
e-m
on
th 2
5-d
elta
ris
k-re
vers
al
Trending lower, RR favors calls
Trending higher, RR favors puts Trending lower, RR favors puts
Trending higher, RR favors calls
AUDCAD
AUDCHF
AUDDKK
AUDHKD
AUDJPY
AUDNOK
AUDNZD
AUDSEK
AUDSGD
AUDUSD
EURAUD
GBPAUD
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
0.0 1.0 2.0 3.0 4.0 5.0Up days/down days (one-year history, > 0.5%)
On
e-m
on
th 2
5-d
elta
ris
k-re
vers
al
High RR, low up/down ratio
Low RR, high up/down ratio
AUDCAD AUDCHF
AUDDKK
AUDHKD
AUDJPY
AUDNOK
AUDNZD
AUDSEK
AUDSGDAUDUSD
EURAUDGBPAUD
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
0.0% 0.5% 1.0% 1.5% 2.0%1Y - 1M ATM volatility spreads
On
e-m
on
th v
ola
tilit
y ri
sk-p
rem
ium
(ATM
-R
LZD
)
Curves vulnerable to steepening
Curves vulnerable to flattening
How are 1-Month Vols Priced? Vols in the upper right are rich relative to
both history and realized volatility, while vols in the lower left are cheap against Are Risk-Reversals Priced with the Trend? Top right (bottom left) pairs
could trend higher (lower). Top left (bottom right) could correct lower (higher).
What's the Skew View? Pairs in the bottom right and top left have risk-
reversals that are dislocated from the ratio of up to down spot days. RRs could be cheap in the first case and rich in the second.
Vol Curves Vulnerable to Shifts Top left pairs are vol curve steepening
candidates (trading w/ inverted curves, rich gamma); bottom right are flattening
Page 3 of 7
[email protected] Value Matrices: FX Options Overview
CHF
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
6 March 2018
kumacapital
AUDCHFCADCHF
CHFDKK
CHFHKD
CHFHUF
CHFJPY
CHFMXN
CHFNOK
CHFPLNCHFSEK
CHFSGD
CHFZAR
EURCHF
GBPCHF
NZDCHF
SGDCHF
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
-3.0% -2.0% -1.0% 0.0% 1.0% 2.0%
One-week momentum (%)
On
e-w
ee
k m
om
en
tum
on
ew
eek
ago
(%
)
Recent strength correcting
Recent weakness correctingDowntrend could be developing
Uptrend could be developing
Scanning for Momentum Shifts Top right (bottom left) pairs could trend
higher (lower). Top left (bottom right) could correct lower (higher).
AUDCHF
CADCHF
CHFDKK
CHFHKDCHFHUF
CHFJPY
CHFMXN
CHFNOK
CHFPLN
CHFSEK
CHFSGD
CHFZAR
EURCHFGBPCHF
NZDCHFSGDCHF
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
0 10 20 30 40 50 60 70 80 90 10014-day Relative Strength Index (RSI)
1Y
Z-sc
ore
of
5d
, 40
d m
ovi
ng
ave
rage
cro
sso
ver
mo
de
l
Vulnerable to a bounce
Vulnerable to a pullback
Are Recent Moves Stretched? Top right pairs have stretched uptrend
readings, overbought RSIs and could be vulnerable to a pullback. Bottom right pairs have stretched downtrends, oversold RSIs and could bounce.
AUDCHF
CADCHFCHFDKK
CHFHKD
CHFHUF
CHFJPY
CHFMXNCHFNOK
CHFPLN
CHFSEK
CHFSGD
CHFZAR
EURCHF
GBPCHF
NZDCHF
SGDCHFUSDCHF
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
-2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0
One-year z-score of one-month ATM volatility
On
e-m
on
th v
ola
tilit
y ri
sk-p
rem
ium
(AT
M-R
LZD
)
Rich gamma, cheap vega
Cheap gamma, rich vegaCheap gamma, vega
Rich gamma, vega
AUDCHF
CADCHF
CHFDKK
CHFHKD
CHFHUFCHFJPY
CHFMXNCHFNOK
CHFPLN
CHFSEK CHFSGD
CHFZAREURCHF
GBPCHF
NZDCHF
SGDCHF
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
-6.0% -4.0% -2.0% 0.0% 2.0% 4.0%5-day, 40-day moving average model
On
e-m
on
th 2
5-d
elta
ris
k-re
vers
al
Trending lower, RR favors calls
Trending higher, RR favors puts Trending lower, RR favors puts
Trending higher, RR favors calls
AUDCHF
CADCHF
CHFDKK
CHFHKD
CHFHUFCHFJPY
CHFMXNCHFNOK
CHFPLN
CHFSEKCHFSGD
CHFZAR
EURCHF
GBPCHF
NZDCHF
SGDCHF
USDCHF
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
0.0 1.0 2.0 3.0 4.0 5.0 6.0Up days/down days (one-year history, > 0.5%)
On
e-m
on
th 2
5-d
elta
ris
k-re
vers
al
High RR, low up/down ratio
Low RR, high up/down ratio
AUDCHF
CADCHFCHFDKK
CHFHKD
CHFHUF
CHFJPY
CHFMXNCHFNOK
CHFPLN
CHFSEK
CHFSGD
CHFZAR
EURCHF
GBPCHF
NZDCHF
SGDCHFUSDCHF
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
0.0% 1.0% 2.0% 3.0% 4.0%1Y - 1M ATM volatility spreads
On
e-m
on
th v
ola
tilit
y ri
sk-p
rem
ium
(ATM
-R
LZD
)
Curves vulnerable to steepening
Curves vulnerable to flattening
How are 1-Month Vols Priced? Vols in the upper right are rich relative to
both history and realized volatility, while vols in the lower left are cheap against Are Risk-Reversals Priced with the Trend? Top right (bottom left) pairs
could trend higher (lower). Top left (bottom right) could correct lower (higher).
What's the Skew View? Pairs in the bottom right and top left have risk-
reversals that are dislocated from the ratio of up to down spot days. RRs could be cheap in the first case and rich in the second.
Vol Curves Vulnerable to Shifts Top left pairs are vol curve steepening
candidates (trading w/ inverted curves, rich gamma); bottom right are flattening
Page 4 of 7
[email protected] Value Matrices: FX Options Overview
EUR
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
6 March 2018
kumacapital
EURAUD
EURBRL
EURCAD
EURCHF
EURCZK
EURDKK
EURGBPEURHUF
EURILS
EURJPY
EURMXNEURNOK
EURNZDEURPLN
EURSEK
EURSGD
EURTRY
EURUSD
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
-1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5%
One-week momentum (%)
On
e-w
ee
k m
om
en
tum
on
ew
eek
ago
(%
)
Recent strength correcting
Recent weakness correctingDowntrend could be developing
Uptrend could be developing
Scanning for Momentum Shifts Top right (bottom left) pairs could trend
higher (lower). Top left (bottom right) could correct lower (higher).
EURAUD
EURBRL
EURCAD
EURCHF
EURCZK
EURDKK
EURGBP
EURHUF
EURILS
EURJPY
EURMXNEURNOK
EURNZD
EURPLN
EURSEK
EURSGD
EURTRY
EURUSD
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
0 10 20 30 40 50 60 70 80 90 10014-day Relative Strength Index (RSI)
1Y
Z-sc
ore
of
5d
, 40
d m
ovi
ng
ave
rage
cro
sso
ver
mo
de
l
Vulnerable to a bounce
Vulnerable to a pullback
Are Recent Moves Stretched? Top right pairs have stretched uptrend
readings, overbought RSIs and could be vulnerable to a pullback. Bottom right pairs have stretched downtrends, oversold RSIs and could bounce.
EURAUD
EURBRL
EURCAD
EURCHF
EURCZK
EURDKK
EURGBPEURHUF
EURILS
EURJPY
EURMXNEURNOK
EURNZD
EURPLN
EURSEKEURSGD
EURTRY
EURUSDEURZAR
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
-2.0 -1.5 -1.0 -0.5 0.0 0.5
One-year z-score of one-month ATM volatility
On
e-m
on
th v
ola
tilit
y ri
sk-p
rem
ium
(AT
M-R
LZD
)
Rich gamma, cheap vega
Cheap gamma, rich vegaCheap gamma, vega
Rich gamma, vega
EURAUDEURBRL
EURCADEURCHF
EURCZK
EURDKK
EURGBP
EURHUF
EURILS
EURJPY
EURMXN
EURNOK
EURNZD
EURPLN
EURSEK
EURSGDEURTRY
EURUSD
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
-3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0%5-day, 40-day moving average model
On
e-m
on
th 2
5-d
elta
ris
k-re
vers
al
Trending lower, RR favors calls
Trending higher, RR favors puts Trending lower, RR favors puts
Trending higher, RR favors calls
EURAUDEURBRL
EURCADEURCHF
EURCZK
EURDKK
EURGBP
EURHUF
EURILS
EURJPY
EURMXN
EURNOK
EURNZD
EURPLN
EURSEK
EURSGDEURTRY
EURUSD
EURZAR
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0Up days/down days (one-year history, > 0.5%)
On
e-m
on
th 2
5-d
elta
ris
k-re
vers
al
High RR, low up/down ratio
Low RR, high up/down ratio
EURAUD
EURBRL
EURCAD
EURCHF
EURCZK
EURDKK
EURGBP EURHUF
EURILS
EURJPY
EURMXNEURNOK
EURNZD
EURPLN
EURSEKEURSGD
EURTRY
EURUSDEURZAR
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
-1.0% 0.0% 1.0% 2.0% 3.0% 4.0%1Y - 1M ATM volatility spreads
On
e-m
on
th v
ola
tilit
y ri
sk-p
rem
ium
(ATM
-R
LZD
)
Curves vulnerable to steepening
Curves vulnerable to flattening
How are 1-Month Vols Priced? Vols in the upper right are rich relative to
both history and realized volatility, while vols in the lower left are cheap against Are Risk-Reversals Priced with the Trend? Top right (bottom left) pairs
could trend higher (lower). Top left (bottom right) could correct lower (higher).
What's the Skew View? Pairs in the bottom right and top left have risk-
reversals that are dislocated from the ratio of up to down spot days. RRs could be cheap in the first case and rich in the second.
Vol Curves Vulnerable to Shifts Top left pairs are vol curve steepening
candidates (trading w/ inverted curves, rich gamma); bottom right are flattening
Page 5 of 7
[email protected] Value Matrices: FX Options Overview
GBP
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
6 March 2018
kumacapital
EURGBPGBPAUDGBPCAD
GBPCHF
GBPDKK GBPHKD
GBPJPY
GBPNOK
GBPNZD
GBPSEK
GBPSGD
GBPUSD
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
-1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5%
One-week momentum (%)
On
e-w
ee
k m
om
en
tum
on
ew
eek
ago
(%
)
Recent strength correcting
Recent weakness correctingDowntrend could be developing
Uptrend could be developing
Scanning for Momentum Shifts Top right (bottom left) pairs could trend
higher (lower). Top left (bottom right) could correct lower (higher).
EURGBP
GBPAUD
GBPCAD
GBPCHFGBPDKK
GBPHKD
GBPJPYGBPNOKGBPNZD
GBPSEK
GBPSGD
GBPUSD
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
0 10 20 30 40 50 60 70 80 90 10014-day Relative Strength Index (RSI)
1Y
Z-sc
ore
of
5d
, 40
d m
ovi
ng
ave
rage
cro
sso
ver
mo
de
l
Vulnerable to a bounce
Vulnerable to a pullback
Are Recent Moves Stretched? Top right pairs have stretched uptrend
readings, overbought RSIs and could be vulnerable to a pullback. Bottom right pairs have stretched downtrends, oversold RSIs and could bounce.
EURGBP
GBPAUD
GBPCADGBPCHF
GBPDKK
GBPHKD
GBPJPY
GBPNOKGBPNZD
GBPSEK
GBPSGD
GBPUSD
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
-1.0 -0.5 0.0 0.5 1.0 1.5
One-year z-score of one-month ATM volatility
On
e-m
on
th v
ola
tilit
y ri
sk-p
rem
ium
(AT
M-R
LZD
)
Rich gamma, cheap vega
Cheap gamma, rich vegaCheap gamma, vega
Rich gamma, vegaEURGBP
GBPAUD
GBPCAD
GBPCHFGBPDKK
GBPHKD
GBPJPY
GBPNOK
GBPNZD
GBPSEK
GBPSGD
GBPUSD
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
-4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0%5-day, 40-day moving average model
On
e-m
on
th 2
5-d
elta
ris
k-re
vers
al
Trending lower, RR favors calls
Trending higher, RR favors puts Trending lower, RR favors puts
Trending higher, RR favors calls
EURGBP
GBPAUD
GBPCAD
GBPCHFGBPDKK
GBPHKD
GBPJPY
GBPNOK
GBPNZD
GBPSEK
GBPSGD
GBPUSD
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
0.0 1.0 2.0 3.0 4.0 5.0Up days/down days (one-year history, > 0.5%)
On
e-m
on
th 2
5-d
elta
ris
k-re
vers
al
High RR, low up/down ratio
Low RR, high up/down ratio
EURGBP
GBPAUD
GBPCADGBPCHF
GBPDKK
GBPHKD
GBPJPY
GBPNOKGBPNZD
GBPSEK
GBPSGD
GBPUSD
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
-0.2% 0.0% 0.2% 0.4% 0.6% 0.8% 1.0%1Y - 1M ATM volatility spreads
On
e-m
on
th v
ola
tilit
y ri
sk-p
rem
ium
(ATM
-R
LZD
)
Curves vulnerable to steepening
Curves vulnerable to flattening
How are 1-Month Vols Priced? Vols in the upper right are rich relative to
both history and realized volatility, while vols in the lower left are cheap against Are Risk-Reversals Priced with the Trend? Top right (bottom left) pairs
could trend higher (lower). Top left (bottom right) could correct lower (higher).
What's the Skew View? Pairs in the bottom right and top left have risk-
reversals that are dislocated from the ratio of up to down spot days. RRs could be cheap in the first case and rich in the second.
Vol Curves Vulnerable to Shifts Top left pairs are vol curve steepening
candidates (trading w/ inverted curves, rich gamma); bottom right are flattening
Page 6 of 7
[email protected] Value Matrices: FX Options Overview
JPY
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
Source: Reuters, kuma.capital Source: Reuters, kuma.capital
kumacapital6 March 2018
AUDJPY
CADJPY
CHFJPY
DKKJPY
EURJPY
GBPJPY
HKDJPY
NZDJPY
SEKJPY
SGDJPY
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
-2.0% -1.0% 0.0% 1.0% 2.0% 3.0%
One-week momentum (%)
On
e-w
ee
k m
om
en
tum
on
ew
eek
ago
(%
)
Recent strength correcting
Recent weakness correctingDowntrend could be developing
Uptrend could be developing
Scanning for Momentum Shifts Top right (bottom left) pairs could trend
higher (lower). Top left (bottom right) could correct lower (higher).
AUDJPY
CADJPY
CHFJPY
DKKJPY
EURJPY
GBPJPY
HKDJPY
NZDJPY
SEKJPYSGDJPY
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
0 10 20 30 40 50 60 70 80 90 10014-day Relative Strength Index (RSI)
1Y
Z-sc
ore
of
5d
, 40
d m
ovi
ng
ave
rage
cro
sso
ver
mo
de
l
Vulnerable to a bounce
Vulnerable to a pullback
Are Recent Moves Stretched? Top right pairs have stretched uptrend
readings, overbought RSIs and could be vulnerable to a pullback. Bottom right pairs have stretched downtrends, oversold RSIs and could bounce.
AUDJPY
CADJPY
CHFJPY
DKKJPY
EURJPY GBPJPYHKDJPY NZDJPY
SEKJPY
SGDJPYUSDJPY
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0
One-year z-score of one-month ATM volatility
On
e-m
on
th v
ola
tilit
y ri
sk-p
rem
ium
(AT
M-R
LZD
)
Rich gamma, cheap vega
Cheap gamma, rich vegaCheap gamma, vega
Rich gamma, vega
AUDJPY
CADJPY
CHFJPY
DKKJPY
EURJPY
GBPJPYHKDJPY
NZDJPY
SEKJPYSGDJPY
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
-6.0% -4.0% -2.0% 0.0% 2.0% 4.0%5-day, 40-day moving average model
On
e-m
on
th 2
5-d
elta
ris
k-re
vers
al
Trending lower, RR favors calls
Trending higher, RR favors puts Trending lower, RR favors puts
Trending higher, RR favors calls
AUDJPY
CADJPY
CHFJPY
DKKJPY
EURJPY
GBPJPYHKDJPY
NZDJPY
SEKJPYSGDJPY
USDJPY
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
0.0 1.0 2.0 3.0 4.0Up days/down days (one-year history, > 0.5%)
On
e-m
on
th 2
5-d
elta
ris
k-re
vers
al
High RR, low up/down ratio
Low RR, high up/down ratio
AUDJPY
CADJPY
CHFJPY
DKKJPY
EURJPYGBPJPYHKDJPYNZDJPY
SEKJPY
SGDJPYUSDJPY
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
-1.0% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0%1Y - 1M ATM volatility spreads
On
e-m
on
th v
ola
tilit
y ri
sk-p
rem
ium
(ATM
-R
LZD
)
Curves vulnerable to steepening
Curves vulnerable to flattening
How are 1-Month Vols Priced? Vols in the upper right are rich relative to
both history and realized volatility, while vols in the lower left are cheap against Are Risk-Reversals Priced with the Trend? Top right (bottom left) pairs
could trend higher (lower). Top left (bottom right) could correct lower (higher).
What's the Skew View? Pairs in the bottom right and top left have risk-
reversals that are dislocated from the ratio of up to down spot days. RRs could be cheap in the first case and rich in the second.
Vol Curves Vulnerable to Shifts Top left pairs are vol curve steepening
candidates (trading w/ inverted curves, rich gamma); bottom right are flattening
Page 7 of 7
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