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ld reduce the appreciation pressure. Moreover, a band-widening should, if anything, lead to CNY weakne

10: Turning Up the Volume: Buy USD/GBP variance swap and AUD/USD variance swap Research Team London Bilal Hafeez James Malcolm Henrik Gullberg George Saravelos Caio Natividade Siddharth Kapoor Oliver Harvey Nicholas Weng New York Alan Ruskin Daniel Brehon Drausio Giacomelli Guilherme Marone Mauro R

D bin Japan Figure 8: USD/JPY spot vs. PPP 20% Band USD/JPY 115 165 215 265 315 65 Source: Da

ally turns. We anticipate extremes in the likes of AUD/USD, NZD/USD and USD/CAD at 0.60, 0.50 and 1.45 respectively. Alan Ruskin (1) 212-250-8646 George Saravelos (44) 20-754-79118 Figure 6: USD/JPY and USD/EUR performance depending of US yield curve USD/JPY and USD/EUR performance depending of US yield cu

he Bank Research Index USDTWI PPP Implied 20% Band 100 110 120 130 60 70 80 90 Figure 7: Do

cer Taimur Baig Gustavo Canonero Strategy Dominic Konstam Francis Yared Oleg Melentyev Jim Reid David Bianco Sebastian Raedler Alan Ruskin George Saravelos Michael Hsueh Binky Chadha Peter Garber Global Head of Research Global Head, Macro Research Telephone +44 20 754 55502 +852 2203 8303 Email