SEK Brexit Hedges Most Attractive in Europe FX, Cr. Suisse Says
Source: BFW (Bloomberg First Word)
To de-activate this alert, click here
UUID: 7947283
(Bloomberg) - USD/SEK risk reversals and implied volatility are a more attractive way to hedge for a ’Brexit’ scenario than EUR/USD, Credit Suisse analysts write in client note
Alert: HALISTER1- Recommends buying USD/SEK 2-mo. 8.6372 strike 15d call
- Hedging for the U.K. voting to ‘leave’ by directly buying GBP puts is expensive and short EUR/USD offers a cheaper Brexit hedge than GBP/USD, but the EUR/USD risk reversal skew makes it difficult to see EUR/USD as a ‘leave’ trade that isn’t already well owned
- EUR/USD trades more attractive for a ‘remain’ vote; favor buying a EUR/USD 2-mo. 1.1669 strike 25d call
- Credit analysts are reluctant to trade the referendum as an independent risk factor unless the GBP credit market shows cheapness again
- Regardless of outcome it will add to the general uncertainty in the market as the result will likely continue to impact U.K. politics, with the possibility of leadership contests or party challenges
- Earlier: C. Suisse suggests long FTSE 100 vs FTSE 250 as Brexit hedge in stocks; referendum already impacting the U.K. economy
- NOTE: FX implied correlations underprice the risk-off implications of a Brexit
Source: BFW (Bloomberg First Word)
To de-activate this alert, click here
UUID: 7947283