Jul 6, 2016

Brexit and FX Derivatives: Feeling the Weight of the Pound

In this video blog Vice President of Business Development and FX expert Udi Sela provides a post Brexit assessment of the FX markets and related derivative trading strategies. He covers:

  • USD/GBP - price adjustments and interesting moves.
  • Emerging market currencies update.
  • Derivative strategies:
    •      CVA pain: Cross-gamma effect as CDS spread opens driving yields down.
    •      Hedging CVA exposure - exploring out-of-the-money options.
  • Volatility - less volumes, means a more volatile market.
  • US interest rate hike - unlikely. This is being priced in, what does it mean?
  • Safe havens: Swiss Franc, Japanese Yen. Yen strengthens against dollar - hedging to the down side of USD/JPY, higher negative risk reversal, higher implied volatility.

 

Related Content: 
Bracing for Brexit: FX Market Impact, Commodities Update
Blog Post - Jun 23, 2011

Improving Risk Management and Transparency for Structured Products

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