21- Oct - 2022

Potentially bullish reversal with momentum failng to make a new low with spot. 

Short-term dispersion starting to roll over suggesting a near-term bottom. 

CAD daily dispersion also rolls over suggesting that a near-term USD top is now in. 

 CADJPY now potential double top developing. Hourly dispersion suggests upside progress limited. Hourly trend line holds for now despite intervention. 

Long-term EURCHF momentum shows first hard evidence of turning back up. 

USDJPY has taken out the hourly trendline following the intervention. 

The JPY curve steepened following the intervention with the 3M vs 12M increasing to nearly 1.5 vols. With the front end skew now bidding for Yen calls but the back end still bidding over for yen puts over a 3M vs. 12M Yen call calendar spread looks potentially rewarding. 

As the curves in the Yen and Yen crosses steepen the one-year EURJPY has not been higher in only one time in the past decade. 

 In the EURJPY medium term chart you can see the wide IV-AV spread. The potential trade here is to fade the trend buy selling EURJPY call spreads. 

 EURCHF implied vols remain extremely sensitive to spot with the one-month moving sharply lower on the EURCHF rally. 

 Both one + two months GBPCAD, as well as GBPUSD, implied vols are cheap in relation to the realized actuals. A Sunak victory in the PM contest will likely give GBP a near-term bounce and further suppress volatility. A victory by Johnson would likely lead to another sharp sell-off in GBP assets.  Whoever wins the recovery in GBP is likely to be short-term and not sustainable. 

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