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, suggesting a long position based on model valuations. It notes changes in 3M implied volatilities over the past year and provides charts for visual representation.
doj/DataSet10/EFTA01451217.pdf
{"title":"FX Blueprint: Thin end of the wedge","document_date":"2014-01-09","document_type":"financial","key_organizations":["Deutsche Bank"],"reference_numbers":["DB-SDNY-0107543","SDNY_GM_00253727","EFTA01451217"]}