EFTA01459711Set 10
2016-01-121p564w
risk off" currency
(financial account
• "Euroglut" outflows into the US and EMFX reverse
as risk appetite sours and carry trades squeeze 1,400 • Curnolftive ... when looking for Figure 3: Positive vol premium in USD/EM, negative vol
volatility in EMFX. Since EUR/USD is negatively !premium in EUR/EM as flight to EUR safety not priced
correlated ... equities (acting as risk proxy), we would
expect EUR to be negative correlated with EMFX as
well, making EUR/EM more volatile than USD/EM. ■ EURTRY
• EURMXN
■ EURINR
Buy EUFflEkl volatility
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01459711.pdf
EFTA01458616Set 10
2015-09-251p632w
prefer to
be long vs. EM peers as USD/MXN could continue higher on negative EMFX sentiment (frequently expressed through
USD/MXN) and general dollar strength. We enter long MXNWEIRL, despite already ... picture continues to be
unfavorable. CLP is better positioned to face the other big EMFX risk, namely Fed tightening, as foreign participation in
local markets is low and the current
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01458616.pdf