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spreading risk-reversals
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. Does anyone have any thoughts on the best way to structure a trade to capture mean-reversion of this intermarket normalized skew relationship? thanks in advance. chrs.