The document discusses relative value opportunities in volatility surface distortions, specifically focusing on EUR/USD FVAs, USD/JPY vol swaps, and risk reversals. It highlights the subdued EUR/USD implied volatility in 2013 and suggests owning EUR/USD vol as a hedge against tail risks. The document also analyzes USD/JPY volatility based on model valuations and suggests switching to long USD/JPY vol for better risk/reward payoff.
doj/DataSet10/EFTA01446668.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-0100970","SDNY_GM_00247154","EFTA01446668"]}