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ility and marked depreciation vs. USD (see historical price chart below) • Affected commodity linked currency pairs include AUDUSD, USDBRL, USDCAD, USDMXN, and USDNOK • Premium neutral bullish risk reversals on commodity currencies can take advantage of implied vol, skew and forward dynamics (i.e. cl
volatility adjusted skew amongst commodity currencies, current USDBRL levels provide a compelling entry point into premium neutral risk reversals. Commodity Currencies and Oil • 6 month Normalized Performance 110. 100k 100. 7//2014 —SPLI$D sea --• AVM* — NOMAD ---,4•LADUSD 700 — (amity 30% 11/2/2014 9/21 /014 10•21.t014
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OMO —CAD4,430 70% —CL4Cemdly Other commodity currencies: While for USDBRL call strike is about 14% away from spot while put is about 1% away, for USDMXN the call strike would be approximately 8% away while put strike would be 3% away from spot. Best regards, Daniel Daniel Sabba Key Client Partners
Commodity Currencies and Oil • 6 month Normalized Performance /10% 10011 70% 60% ~ 1 SO% Se% 7/7.7011 RA 7014 0,7.'1011 10'7/7014 11:7;l011 117:7011 1:7:101% Deft 100% —111
2 mentions1 same-page
Page ?Same page
ility and marked depreciation vs. USD (see historical price chart below) • Affected commodity linked currency pairs include AUDUSD, USDBRL, USDCAD, USDMXN, and USDNOK • Premium neutral bullish risk reversals on commodity currencies can take advantage of implied vol, skew and forward dynamics (i.e. cl
volatility adjusted skew amongst commodity currencies, current USDBRL levels provide a compelling entry point into premium neutral risk reversals. Commodity Currencies and Oil • 6 month Normalized Performance nos $ tatl par• — MOW -MSNUSD 80k, — WOOD — NQKUSD CADUSD 70% -OA C emdtv -• SO% 11:1101-1 I/17., 1014 1011015
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Entities connected to both USDMXN and Commodity Currencies and Oil • 6 month
