FX Derivatives: Yenough Is Yenough

Research evidence excerpt

FX Derivatives: Yenough Is Yenough

Ladislav Jankovic AC (1-212) 834-9618 Sanjana Shinde (1-212) 622-2001 Global Markets Strategy J P M O R G A Nladislav.jankovic@jpmchase.com sanjana.shinde@jpmchase.com

J.P. Morgan Securities LLC J.P. Morgan Securities LLC 10 July 2026

Arindam Sandilya (65) 6882-7759 Patrick R Locke (1-212) 834-4254

arindam.x.sandilya@jpmorgan.com patrick.r.locke@jpmchase.com

JPMorgan Chase Bank, N.A., Singapore Branch J.P. Morgan Securities LLC

FX Derivatives Beneath the calm aggregate picture, some dispersion remains

visible across the FX complex. EM Asia, LatAm, and the

Yenough Is Yenough Scandies continue to trade at a premium relative to the

broader market, reflecting areas where realized vol has been

• FX vol has fully unwound its post–Mid-Year Outlook slower to mean revert (Figure 2SomedispersionwithinFXvolspaceisvisiblewithEMAsia,LatAm,andScandiesononeside,andCHF,GBP,andAntipodeansontheother,inlinewiththespotmarket’spriceaction.). In contrast, CHF, GBP, and

rebound and returned to cycle lows, keeping the

the Antipodeans sit closer to the bottom of their respective

broader backdrop supportive for carry.

vol ranges, consistent with more subdued spot dynamics. Sea-

• Hedge the risk of Middle-East 2.0 via long 3M delta- sonal factors are also playing their part, with summer condi-

hedged USD/ZAR risk-reversals on favorable position- tions weighing on vol and options markets increasingly reluc-

ing and pricing. tant to abandon a benign near-term outlook (Figure 3SumerhasbenweighingonFXvols.EMAsiaandLatAmvolshavebenabitslowertoconsolidatefolowingtherecentrealizedvol.). That

• Own leveraged HYs through 3M [USD/HUF dn && complacency is perhaps most visible in the continued unwill-