The document discusses a trade idea to buy 1y2y USDJPY forward volatility at 10.50%, with the current 2y implied volatility at 9.95%. It provides a rationale for the trade, highlighting the historically low and flat USDJPY volatility curve, the low volatility of long-dated forwards, and the potential for USDJPY volatility to act as a diversifier against tail risk. The document includes tables showing forward volatility and volatility carry across different time windows.
doj/DataSet10/EFTA01387360.pdf
{"key_people":["Martin Zeman"],"document_type":"tabular","key_locations":["New York, NY, USA"],"key_organizations":["Deutsche Bank","Bloomberg Finance L.P.","DB Securities Inc"]}