关于英镑的期权押注反而在英镑兑欧元这一货币对上最为明显，在兑美元方面，英镑的隔夜波动率仅处 于7月以来的最高水平。 另一个显示交易员正在进行对冲的指标是——英镑期权相对于已实现波动率的溢价达到了三年来的最阔 水平。换句话说，这表明市场预期汇率的波动幅度将超过以往所见的水平。 期权市场的活动也表明，交易员更多是在保护他们的投资组合，而不是投机性地押注英镑兑主要货币的 大幅波动。这可以从目前对平值合约的更高需求中看出，而不是那些只有在价格向任一方向大幅飙升时 才能获利的合约。 交易员们正在支付高昂的价格购买期权，以防范英镑出现剧烈波动，因为市场对本周三英国预算案中可 能出现的增税措施的猜测正在升温。 英镑兑欧元的期权合约价格目前按收盘价计算已处于两年来的最高水平，这证明投资者正在大量买入货 币对冲工具，以缓冲波动带来的影响。随着关于英国财政大臣里夫斯将如何填补预算缺口的讨论持续发 酵，市场对可能遭受冲击的担忧情绪非常高涨。 "市场正等着看大动静"法国巴黎银行的外汇波动率策略师Oliver Brennan表示。"看起来期权持仓主要集 中在预算案上，而且大量集中在看空英镑的方向。" 许多交易员表示，鉴于英国经济前景不 ...

Core Insights - Analysts from Mizuho and Goldman Sachs indicate that reduced currency volatility supports new opportunities for arbitrage trading in emerging markets [1][3] - Emerging market currency volatility has decreased by approximately 1.3 percentage points this quarter, surpassing similar indicators for G7 currencies [1] - The ratio between these two indices has dropped to its lowest level since 2013, suggesting a potential continuation of this trend due to stable dollar fluctuations [1] Group 1 - The decline in foreign exchange volatility is timely, as the stability of the dollar has led to decreased returns on dollar-denominated emerging market arbitrage trades [1] - Central bank interventions have played a role in controlling market volatility, which is crucial for arbitrage trading that is sensitive to short-term currency fluctuations [1] - Mizuho's chief trading strategist, Shoki Omori, notes that lower foreign exchange volatility enhances the risk-reward profile for emerging market arbitrage trading [1] Group 2 - An analysis of eight emerging market arbitrage trades funded in dollars shows a decline in performance in Q3, with a return rate of approximately 1.4%, compared to over 4% in the first two quarters of the year [3] - High-yield emerging market currencies remain attractive, with implied yields for three-month forward contracts in Mexico, Brazil, and Colombia at 7% or higher [3] - Goldman Sachs strategists highlight that the general decline in asset volatility pricing is favorable for the performance of emerging market spreads [3]

Group 1 - Citi reports that the sovereign rating adjustments in the Eurozone are active, with 11 countries experiencing rating changes since the beginning of the year, surpassing the total number of changes in 2018 [1] - XTB highlights that the UK's net borrowing reached £18 billion in August, the highest for the same period in five years, raising concerns about the long-term sustainability of public finances [1] - Morgan Stanley no longer expects the Bank of England to cut rates further this year, marking a significant change in their previous outlook [3] Group 2 - Goldman Sachs predicts that the Bank of England will not lower interest rates this year, with the next round of easing expected to begin in February 2026 [3] - UBS anticipates multiple rate cuts from the Federal Reserve in the next 12 months, while the European Central Bank is expected to maintain stable rates, leading to a decrease in the dollar's attractiveness [3] - Optiver's COO notes that synchronized rate cuts by central banks have reduced foreign exchange volatility, aligning with the macroeconomic backdrop of converging interest rates [3]