The CARV model replaced previous short vol position in GBP and JPY with credit, in particular iTraxx Main . At the moment our model is showing a short bias in credit vol and a neutral stance in equity. VXY-GL stalled at the post-Covid peak. Our FX trading model shows a continuation of the divergence between 1M and 3M expiries (1M model that driven by vol carry is performing and giving an all sell signal, 3M is defensive as it doesn't suffer the same level of decay). Overall, we continue to recommend going long USD/ZAR 1M ATM vol on the back of the recent sharp ZAR sell-off. - J.P. Morgan Quantitative Strategy
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