The following chart is likely to change this week, however, the direction is unknown as fresh labor data will indicate whether the Fed's pricing is likely to be delivered. As of now, the market expects one full percentage point of rate cuts by year-end
Looking ahead, 1-year risk reversals favour low yielder topside, the JPY and CHF stand as the only G10 currencies holding call vs put premiums. Bullish franc and yen skewness is recorded from the 3m to the 1y tenors, short-term options see include bullish euro and sterling interest
We have seen implied vol kick up across the board with JPY rising the most over the last week, the 1w tenor now stands at 15.27%, scandies and antipodes follow. JPY vols stand out as the only G10 currencies with underpriced volatility in the 3m tenor
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