The document discusses relative value opportunities in volatility surface distortions, specifically focusing on EUR/USD FVAs, USD/JPY vol swaps, and AUD/USD puts. It analyzes changes in 3M implied volatilities over the past year and suggests strategies for hedging against event risks. The document also evaluates long-term model valuations for JPY volatility and discusses the implications of various economic factors on volatility trends.
doj/DataSet10/EFTA01451148.pdf
{"title":"FX Blueprint: Thin end of the wedge","document_date":"2014-01-09","document_type":"financial","document_subtype":"financial analysis","key_organizations":["Deutsche Bank"],"reference_numbers":["DB-SDNY-0107394","SDNY_GM_00253578","EFTA01451148"]}