FXO Quant: Carry Makes The Goal!

Research evidence excerpt

FXO Quant: Carry Makes The Goal!

J P M O R G A N Global Markets Strategy

02 July 2026

FXO Quant: Carry Makes The

Goal!

June 2026

• Macro Rundown: In the US, Iran negotiations remain stalled, but with the Global FX Strategy

AC Strait of Hormuz open and trade flows normalizing, commodity prices have Sanjana Shinde

continued to drift lower. Warsh's first FOMC meeting struck a modestly (1-212) 622-2001

hawkish tone, with markets now pricing a first full rate hike in December and sanjana.shinde@jpmchase.com

growing discussion around a reduced role for forward guidance. In the UK, J.P. Morgan Securities LLC

Starmer's resignation has cleared the way for Andy Burnham's leadership Ladislav Jankovic AC

transition, while a more measured tone on fiscal policy has eased some market (1-212) 834-9618

ladislav.jankovic@jpmchase.com

concerns. Meanwhile, equity markets softened over the past month amid J.P. Morgan Securities LLC

semiconductor-sector weakness and a reassessment of rates expectations.

Arindam Sandilya

• Filtering Sentiment for USD Short Gamma Model: Short gamma remains (65) 6882-7759

overwhelmingly favored as FX vols stays near multi-year lows, though USD/ arindam.x.sandilya@jpmorgan.com

JPY and CAD stand out as idiosyncratic exceptions tied to intervention and JPMorgan Chase Bank, N.A., Singapore Branch

USMCA risks. Favor USD/JPY no-touch calls and USD/CAD one-touch calls

to express event-driven tail risks without outright long-vol exposure.

• Relative Value Mean Reversion Trading Model: Volatility dispersion

remains compressed despite a modest pickup in global vols, leaving

opportunities concentrated in a handful of outliers. USD/KRW and USD/SGD

remain rich, while USD/NOK screens cheap; favor long 6M USD/NOK versus

short 6M USD/KRW volatility.