<t>Hi all - I'm looking at the spread of EURUSD over GBPUSD normalized one-month 25d risk-reversals and see that it sits around 3 standard deviations below its ten year mean. This suggests GBPUSD skew is rich relative to its levels of ATMF vol, while EURUSD skew is cheap relative to its ATMF vol. Do...

<t>Hi - can anybody suggest a good source of information on FX players, something like FX league tables? For example, largest players in FX market on basis of forex exchanged/total amount of transactions handled, largest players by currency pairs, largest sovereign wealth funds in the FX market, lar...

Does anybody have experience with GFI's FX option reval data? Is it a reliable source of vols for running a quant trading program? Thks for any input.

<t>Hi all,I'm an FX guy starting to working on technical trading strategies in the dry freight market. I'm trying to build a continuous futures contract to backtest some momentum models that have shown promise in these wide swinging markets but the steep curve inversions distort the series since rol...

Gee thanks for the shameless plug of your website that does not even pretend to answer my qeustion. Way to honor the spirit of this forum.

Anybody who sees FX correlation swaps trade, can you tell me what typical notional amounts are on these for say eurusd, usdjpy corr swap? many thanks.

Or...How far off will the mark-to-market value of a 1M vol swap (G7 FX) be if you simply use a time-weighted average of realized volatility since inception and current implied volatility? Is the error closer to .01% or 10%? Thanks in advance.

Can a DDK implied trinomial tree be built using deltas, or is it necessary to first move from the deltas to the strikes? If so, could somebody provide a reference for calculating strikes from deltas? thanks!

Can a DKK implied trinomial tree be built using deltas, or is it necessary to first move from the deltas to the strikes? If so, could somebody provide a reference for calculating strikes from deltas? thanks!

thanks vesel. would doing them vega neutral be sufficient to focus the exposure on the relative moves?

<t>If an investor wants exposure to the gold/eurusd implied vol spread (betting it will converge) would the appropriate strategy consist of long eurusd straddles and short gold straddles done in vega neutral amounts?and if you do it via vol/var swaps how would you determine the proper notional amoun...

do you see vol caps/floors trading?

Hello all,Curious if anybody has experience with or can point me to a source on modelling forward curves where the forwards settle against a monthly average of spot. Thanks in advance,yt

Sure, I'll just forward all my results to you. Is that your correct address?