16 May 2013
FX Blueprint: Dashing Buck
GI0 and hence is susceptible to rebound. Within the IGBP/USD volumes falling sharply in 2013
Eurozone, another factor to consider is the risk
sensitive safe-haven unwinds (mainly from Switzerland
and the UK) which could further add to this trend.
— GBPUSO 2W vaume
—2W eabsed vcialny (RHSi
The favoured trades
In sum, a further increase in trading volumes and
monetary policy divergence could see a broad-based
volatility pick-up. Looking across a number of relative
value trades, we recommended buying a 6M GBP/USD
variance swap struck at 7.75%. and a 3M AUD/USD
variance swap (9.00% strike), due to the low
transaction volumes in GBP/USD and attractive
historical realized volatility levels (see chart 6).
Furthermore, these trades benefit from the negative Ms-11 Jul-11 Nov.11 Me, I? Jul-12 NDv-12 Mw-13
spot-to-empirical volatility skew. SIXOTI Ms, Nocvntwo nnirce
Nicholas Weng, London,
Options mar ket ADVs on the rise
James Malcolm, London,
10 '2
—GBPUSO 1M opoons volume
GBP 1M realised volablety IRKS,
TO
6
.1
4
2
2
0 0
Mor.11 Jull I Nov-II Mar-12 Jul•12 Nov.12 Mar• 13
Sant' CAWroe
IAUD and GBP realised volatilities are historically cheap
2
.11
1.5
1111111110min.
05
0
-0.5
-1.5
MGM re ed t-SCOte
-2
/Qe29§2g§ 9§1112 - 6
88E202*o2Rm802. 2 2 8 g. 2 a
a8?atiVe42. S°3@2sa@ae...3 .2) BS
Soots litentery Anne LP Zeta',MUMnealetlasdanyMow ,.an Minded
J
Pago 20 Doutscho Bank AG/London
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0104584
CONFIDENTIAL SDNY_GM_00250768
EFTA01449251