russell@kuma.capitalFX Relative Value Matrices

strategy@kuma.capital

G10

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

6 March 2018

kumacapital

AUDCAD

AUDCHF

AUDJPY

AUDNZD

AUDUSD

CADJPY

CHFJPY

EURAUD

EURGBP

EURJPY

EURNOK

EURNZD

EURUSDGBPAUD

GBPCAD

GBPJPY

GBPNOK

GBPNZD

GBPSEK GBPUSD

NOKJPY

NOKSEK

NZDCAD

NZDCHF

NZDJPY

NZDUSD

SEKJPY USDCAD

USDCHF

USDJPY

USDNOK

USDSEK

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

-3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0%

One-week momentum (%)

On

e-w

ee

k m

om

en

tum

on

ew

eek

ago

(%

)

Recent strength correcting

Recent weakness correctingDowntrend could be developing

Uptrend could be developing

Scanning for Momentum Shifts Top right (bottom left) pairs could trend

higher (lower). Top left (bottom right) could correct lower (higher).

AUDCAD

AUDCHF

AUDJPY

AUDNZDAUDUSD

CADJPY

CHFJPY

EURAUD

EURGBP

EURJPY

EURNOK

EURNZD

EURUSD

GBPAUD

GBPCAD

GBPJPY

GBPNOK

GBPNZD

GBPSEK

GBPUSD

NOKJPY

NOKSEK

NZDCAD

NZDCHF

NZDJPY

NZDUSDSEKJPY

USDCAD

USDCHFUSDJPY

USDNOK

USDSEK

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

0 10 20 30 40 50 60 70 80 90 10014-day Relative Strength Index (RSI)

1Y

Z-sc

ore

of

5d

, 40

d m

ovi

ng

ave

rage

cro

sso

ver

mo

de

l

Vulnerable to a bounce

Vulnerable to a pullback

Are Recent Moves Stretched? Top right pairs have stretched uptrend

readings, overbought RSIs and could be vulnerable to a pullback. Bottom right pairs have stretched downtrends, oversold RSIs and could bounce.

AUDCADAUDCHF

AUDJPY

AUDNZDAUDUSD

CADJPY

CHFJPY

EURAUD

EURGBP

EURJPY

EURNOK

EURNZD

EURUSD

GBPAUD

GBPCAD

GBPJPY

GBPNOKGBPNZDGBPSEK

GBPUSD

NOKJPY

NOKSEK

NZDCAD

NZDCHF NZDJPYNZDUSD

SEKJPY

USDCAD

USDCHF

USDJPY

USDNOK

USDSEKEURCHF

EURCZKEURDKK

EURGBP

EURHUFEURILS

EURJPY

EURMXN

EURNOKEURNZD

EURPLN

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

-2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0

One-year z-score of one-month ATM volatility

On

e-m

on

th v

ola

tilit

y ri

sk-p

rem

ium

(AT

M-R

LZD

)

Rich gamma, cheap vega

Cheap gamma, rich vegaCheap gamma, vega

Rich gamma, vega

AUDCAD

AUDCHF

AUDJPY

AUDNZD

AUDUSDCADJPY

CHFJPY

EURAUD EURGBP

EURJPY

EURNOK EURNZD

EURUSDGBPAUD

GBPCAD

GBPJPY

GBPNOK

GBPNZD

GBPSEK

GBPUSD

NOKJPY

NOKSEKNZDCAD

NZDCHF

NZDJPY

NZDUSDSEKJPY

USDCAD

USDCHF

USDJPY

USDNOK

USDSEK

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

-6.0% -4.0% -2.0% 0.0% 2.0% 4.0%5-day, 40-day moving average model

On

e-m

on

th 2

5-d

elta

ris

k-re

vers

al

Trending lower, RR favors calls

Trending higher, RR favors puts Trending lower, RR favors puts

Trending higher, RR favors calls

AUDCAD

AUDCHF

AUDJPY

AUDNZD

AUDUSDCADJPY

CHFJPY

EURAUDEURGBP

EURJPY

EURNOKEURNZD

EURUSDGBPAUD

GBPCAD

GBPJPY

GBPNOK

GBPNZD

GBPSEK

GBPUSD

NOKJPY

NOKSEKNZDCAD

NZDCHF

NZDJPY

NZDUSDSEKJPY

USDCAD

USDCHF

USDJPY

USDNOK

USDSEK

EURCHF

EURCZK

EURDKK

EURGBPEURHUF

EURILS

EURJPY

EURMXN

EURNOK

EURNZDEURPLN

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0Up days/down days (one-year history, > 0.5%)

On

e-m

on

th 2

5-d

elta

ris

k-re

vers

al

High RR, low up/down ratio

Low RR, high up/down ratio

AUDCAD AUDCHF

AUDJPY

AUDNZDAUDUSD

CADJPY

CHFJPY

EURAUD

EURGBP

EURJPY

EURNOK

EURNZD

EURUSD

GBPAUD

GBPCAD

GBPJPY

GBPNOKGBPNZD GBPSEK

GBPUSD

NOKJPY

NOKSEK

NZDCAD

NZDCHFNZDJPYNZDUSD

SEKJPY

USDCAD

USDCHF

USDJPY

USDNOK

USDSEKEURCHF

EURCZKEURDKK

EURGBP

EURHUFEURILS

EURJPY

EURMXN

EURNOKEURNZD

EURPLN

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

-0.5% 0.0% 0.5% 1.0% 1.5% 2.0%1Y - 1M ATM volatility spreads

On

e-m

on

th v

ola

tilit

y ri

sk-p

rem

ium

(ATM

-R

LZD

)

Curves vulnerable to steepening

Curves vulnerable to flattening

How are 1-Month Vols Priced? Vols in the upper right are rich relative to

both history and realized volatility, while vols in the lower left are cheap against Are Risk-Reversals Priced with the Trend? Top right (bottom left) pairs

could trend higher (lower). Top left (bottom right) could correct lower (higher).

What's the Skew View? Pairs in the bottom right and top left have risk-

reversals that are dislocated from the ratio of up to down spot days. RRs could be cheap in the first case and rich in the second.

Vol Curves Vulnerable to Shifts Top left pairs are vol curve steepening

candidates (trading w/ inverted curves, rich gamma); bottom right are flattening

Screening for cheap call options and monitoring long 1M ATM call option performance. options in each column. The right side of the table tracks a simple strategy of buying a 21expiration. today's expiration.

Page 1 of 7

russell@kuma.capitalRelative Value Matrices: FX Options Overview

strategy@kuma.capital

EMFX

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

6 March 2018

kumacapital

AUDSGD

CADSGD

CHFHUF

CHFMXN

CHFPLN

CHFSGD

CHFZAR

EURBRLEURCZK

EURHUF

EURILS

EURMXN

EURPLN

EURSGD

EURTRYEURZAR GBPSGD

NZDSGD

USDBRL

USDCZKUSDHUF

USDILS

USDINR

USDMXN

USDPLN

USDRUB

USDSGD

USDTHB

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

-1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0%

One-week momentum (%)

On

e-w

ee

k m

om

en

tum

on

ew

eek

ago

(%

)

Recent strength correcting

Recent weakness correctingDowntrend could be developing

Uptrend could be developing

Scanning for Momentum Shifts Top right (bottom left) pairs could trend

higher (lower). Top left (bottom right) could correct lower (higher).

AUDSGD

CADSGD

CHFHUF

CHFMXN

CHFPLN

CHFSGD

CHFZAR

EURBRL

EURCZK

EURHUF

EURILS

EURMXN

EURPLN

EURSGD

EURTRY

EURZAR

GBPSGD

NZDSGD

USDBRL

USDCZK

USDHUF

USDILS USDINR

USDMXN

USDPLN

USDRUB

USDSGDUSDTHB

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0 10 20 30 40 50 60 70 80 90 10014-day Relative Strength Index (RSI)

1Y

Z-sc

ore

of

5d

, 40

d m

ovi

ng

ave

rage

cro

sso

ver

mo

de

l

Vulnerable to a bounce

Vulnerable to a pullback

Are Recent Moves Stretched? Top right pairs have stretched uptrend

readings, overbought RSIs and could be vulnerable to a pullback. Bottom right pairs have stretched downtrends, oversold RSIs and could bounce.

AUDSGD

CADSGD

CHFHUF

CHFMXN

CHFPLN

CHFSGD

CHFZAR

EURBRL

EURCZK

EURHUFEURILS

EURMXN EURPLN

EURSGDEURTRY

EURZAR

GBPSGD

NZDSGD

USDBRL

USDCZK

USDHUF

USDILS

USDINR

USDMXN

USDPLN

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5

One-year z-score of one-month ATM volatility

On

e-m

on

th v

ola

tilit

y ri

sk-p

rem

ium

(AT

M-R

LZD

)

Rich gamma, cheap vega

Cheap gamma, rich vegaCheap gamma, vega

Rich gamma, vega

AUDSGD

CADSGD CHFHUF

CHFMXN

CHFPLN

CHFSGDCHFZAR

EURBRL

EURCZK

EURHUF

EURILS

EURMXN

EURPLN

EURSGD

EURTRY

EURZAR GBPSGD

NZDSGD

USDBRLUSDCZK

USDHUF

USDILS

USDINRUSDMXN

USDPLN

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

-4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0%5-day, 40-day moving average model

On

e-m

on

th 2

5-d

elta

ris

k-re

vers

al

Trending lower, RR favors calls

Trending higher, RR favors puts Trending lower, RR favors puts

Trending higher, RR favors calls

AUDSGD

CADSGD CHFHUF

CHFMXN

CHFPLN

CHFSGDCHFZAR

EURBRL

EURCZK

EURHUF

EURILS

EURMXN

EURPLN

EURSGD

EURTRY

EURZARGBPSGD

NZDSGD

USDBRLUSDCZKUSDHUF

USDILS

USDINRUSDMXN

USDPLN

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

0.0 0.5 1.0 1.5 2.0Up days/down days (one-year history, > 0.5%)

On

e-m

on

th 2

5-d

elta

ris

k-re

vers

al

High RR, low up/down ratio

Low RR, high up/down ratio

AUDSGD

CADSGD

CHFHUF

CHFMXN

CHFPLN

CHFSGD

CHFZAR

EURBRL

EURCZK

EURHUFEURILS

EURMXNEURPLN

EURSGDEURTRY

EURZAR

GBPSGD

NZDSGD

USDBRL

USDCZK

USDHUF

USDILS

USDINR

USDMXN

USDPLN

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

0.0% 1.0% 2.0% 3.0% 4.0%1Y - 1M ATM volatility spreads

On

e-m

on

th v

ola

tilit

y ri

sk-p

rem

ium

(ATM

-R

LZD

)

Curves vulnerable to steepening

Curves vulnerable to flattening

How are 1-Month Vols Priced? Vols in the upper right are rich relative to

both history and realized volatility, while vols in the lower left are cheap against Are Risk-Reversals Priced with the Trend? Top right (bottom left) pairs

could trend higher (lower). Top left (bottom right) could correct lower (higher).

What's the Skew View? Pairs in the bottom right and top left have risk-

reversals that are dislocated from the ratio of up to down spot days. RRs could be cheap in the first case and rich in the second.

Vol Curves Vulnerable to Shifts Top left pairs are vol curve steepening

candidates (trading w/ inverted curves, rich gamma); bottom right are flattening

Page 2 of 7

russell@kuma.capitalRelative Value Matrices: FX Options Overview

strategy@kuma.capital

AUD

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

6 March 2018

kumacapital

AUDCAD

AUDCHF

AUDDKK

AUDHKDAUDJPY

AUDNOK

AUDNZDAUDSEK

AUDSGDAUDUSD

EURAUD

-1.4%

-1.2%

-1.0%

-0.8%

-0.6%

-0.4%

-0.2%

0.0%

0.2%

0.4%

0.6%

-3.0% -2.0% -1.0% 0.0% 1.0% 2.0%

One-week momentum (%)

On

e-w

ee

k m

om

en

tum

on

ew

eek

ago

(%

)

Recent strength correcting

Recent weakness correctingDowntrend could be developing

Uptrend could be developing

Scanning for Momentum Shifts Top right (bottom left) pairs could trend

higher (lower). Top left (bottom right) could correct lower (higher).

AUDCAD

AUDCHF

AUDDKK

AUDHKD

AUDJPY

AUDNOK

AUDNZD

AUDSEK

AUDSGD

AUDUSD

EURAUD

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

0 10 20 30 40 50 60 70 80 90 10014-day Relative Strength Index (RSI)

1Y

Z-sc

ore

of

5d

, 40

d m

ovi

ng

ave

rage

cro

sso

ver

mo

de

l

Vulnerable to a bounce

Vulnerable to a pullback

Are Recent Moves Stretched? Top right pairs have stretched uptrend

readings, overbought RSIs and could be vulnerable to a pullback. Bottom right pairs have stretched downtrends, oversold RSIs and could bounce.

AUDCADAUDCHF

AUDDKK

AUDHKD

AUDJPY

AUDNOK

AUDNZD

AUDSEK

AUDSGDAUDUSD

EURAUDGBPAUD

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

-1.0 -0.5 0.0 0.5 1.0 1.5

One-year z-score of one-month ATM volatility

On

e-m

on

th v

ola

tilit

y ri

sk-p

rem

ium

(AT

M-R

LZD

)

Rich gamma, cheap vega

Cheap gamma, rich vegaCheap gamma, vega

Rich gamma, vega

AUDCAD

AUDCHF

AUDDKK

AUDHKD

AUDJPY

AUDNOK

AUDNZD

AUDSEK

AUDSGD

AUDUSD

EURAUD

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

-5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0%5-day, 40-day moving average model

On

e-m

on

th 2

5-d

elta

ris

k-re

vers

al

Trending lower, RR favors calls

Trending higher, RR favors puts Trending lower, RR favors puts

Trending higher, RR favors calls

AUDCAD

AUDCHF

AUDDKK

AUDHKD

AUDJPY

AUDNOK

AUDNZD

AUDSEK

AUDSGD

AUDUSD

EURAUD

GBPAUD

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

0.0 1.0 2.0 3.0 4.0 5.0Up days/down days (one-year history, > 0.5%)

On

e-m

on

th 2

5-d

elta

ris

k-re

vers

al

High RR, low up/down ratio

Low RR, high up/down ratio

AUDCAD AUDCHF

AUDDKK

AUDHKD

AUDJPY

AUDNOK

AUDNZD

AUDSEK

AUDSGDAUDUSD

EURAUDGBPAUD

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

0.0% 0.5% 1.0% 1.5% 2.0%1Y - 1M ATM volatility spreads

On

e-m

on

th v

ola

tilit

y ri

sk-p

rem

ium

(ATM

-R

LZD

)

Curves vulnerable to steepening

Curves vulnerable to flattening

How are 1-Month Vols Priced? Vols in the upper right are rich relative to

both history and realized volatility, while vols in the lower left are cheap against Are Risk-Reversals Priced with the Trend? Top right (bottom left) pairs

could trend higher (lower). Top left (bottom right) could correct lower (higher).

What's the Skew View? Pairs in the bottom right and top left have risk-

reversals that are dislocated from the ratio of up to down spot days. RRs could be cheap in the first case and rich in the second.

Vol Curves Vulnerable to Shifts Top left pairs are vol curve steepening

candidates (trading w/ inverted curves, rich gamma); bottom right are flattening

Page 3 of 7

russell@kuma.capitalRelative Value Matrices: FX Options Overview

strategy@kuma.capital

CHF

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

6 March 2018

kumacapital

AUDCHFCADCHF

CHFDKK

CHFHKD

CHFHUF

CHFJPY

CHFMXN

CHFNOK

CHFPLNCHFSEK

CHFSGD

CHFZAR

EURCHF

GBPCHF

NZDCHF

SGDCHF

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

-3.0% -2.0% -1.0% 0.0% 1.0% 2.0%

One-week momentum (%)

On

e-w

ee

k m

om

en

tum

on

ew

eek

ago

(%

)

Recent strength correcting

Recent weakness correctingDowntrend could be developing

Uptrend could be developing

Scanning for Momentum Shifts Top right (bottom left) pairs could trend

higher (lower). Top left (bottom right) could correct lower (higher).

AUDCHF

CADCHF

CHFDKK

CHFHKDCHFHUF

CHFJPY

CHFMXN

CHFNOK

CHFPLN

CHFSEK

CHFSGD

CHFZAR

EURCHFGBPCHF

NZDCHFSGDCHF

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

0 10 20 30 40 50 60 70 80 90 10014-day Relative Strength Index (RSI)

1Y

Z-sc

ore

of

5d

, 40

d m

ovi

ng

ave

rage

cro

sso

ver

mo

de

l

Vulnerable to a bounce

Vulnerable to a pullback

Are Recent Moves Stretched? Top right pairs have stretched uptrend

readings, overbought RSIs and could be vulnerable to a pullback. Bottom right pairs have stretched downtrends, oversold RSIs and could bounce.

AUDCHF

CADCHFCHFDKK

CHFHKD

CHFHUF

CHFJPY

CHFMXNCHFNOK

CHFPLN

CHFSEK

CHFSGD

CHFZAR

EURCHF

GBPCHF

NZDCHF

SGDCHFUSDCHF

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

-2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0

One-year z-score of one-month ATM volatility

On

e-m

on

th v

ola

tilit

y ri

sk-p

rem

ium

(AT

M-R

LZD

)

Rich gamma, cheap vega

Cheap gamma, rich vegaCheap gamma, vega

Rich gamma, vega

AUDCHF

CADCHF

CHFDKK

CHFHKD

CHFHUFCHFJPY

CHFMXNCHFNOK

CHFPLN

CHFSEK CHFSGD

CHFZAREURCHF

GBPCHF

NZDCHF

SGDCHF

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

-6.0% -4.0% -2.0% 0.0% 2.0% 4.0%5-day, 40-day moving average model

On

e-m

on

th 2

5-d

elta

ris

k-re

vers

al

Trending lower, RR favors calls

Trending higher, RR favors puts Trending lower, RR favors puts

Trending higher, RR favors calls

AUDCHF

CADCHF

CHFDKK

CHFHKD

CHFHUFCHFJPY

CHFMXNCHFNOK

CHFPLN

CHFSEKCHFSGD

CHFZAR

EURCHF

GBPCHF

NZDCHF

SGDCHF

USDCHF

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

0.0 1.0 2.0 3.0 4.0 5.0 6.0Up days/down days (one-year history, > 0.5%)

On

e-m

on

th 2

5-d

elta

ris

k-re

vers

al

High RR, low up/down ratio

Low RR, high up/down ratio

AUDCHF

CADCHFCHFDKK

CHFHKD

CHFHUF

CHFJPY

CHFMXNCHFNOK

CHFPLN

CHFSEK

CHFSGD

CHFZAR

EURCHF

GBPCHF

NZDCHF

SGDCHFUSDCHF

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

0.0% 1.0% 2.0% 3.0% 4.0%1Y - 1M ATM volatility spreads

On

e-m

on

th v

ola

tilit

y ri

sk-p

rem

ium

(ATM

-R

LZD

)

Curves vulnerable to steepening

Curves vulnerable to flattening

How are 1-Month Vols Priced? Vols in the upper right are rich relative to

both history and realized volatility, while vols in the lower left are cheap against Are Risk-Reversals Priced with the Trend? Top right (bottom left) pairs

could trend higher (lower). Top left (bottom right) could correct lower (higher).

What's the Skew View? Pairs in the bottom right and top left have risk-

reversals that are dislocated from the ratio of up to down spot days. RRs could be cheap in the first case and rich in the second.

Vol Curves Vulnerable to Shifts Top left pairs are vol curve steepening

candidates (trading w/ inverted curves, rich gamma); bottom right are flattening

Page 4 of 7

russell@kuma.capitalRelative Value Matrices: FX Options Overview

strategy@kuma.capital

EUR

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

6 March 2018

kumacapital

EURAUD

EURBRL

EURCAD

EURCHF

EURCZK

EURDKK

EURGBPEURHUF

EURILS

EURJPY

EURMXNEURNOK

EURNZDEURPLN

EURSEK

EURSGD

EURTRY

EURUSD

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

-1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5%

One-week momentum (%)

On

e-w

ee

k m

om

en

tum

on

ew

eek

ago

(%

)

Recent strength correcting

Recent weakness correctingDowntrend could be developing

Uptrend could be developing

Scanning for Momentum Shifts Top right (bottom left) pairs could trend

higher (lower). Top left (bottom right) could correct lower (higher).

EURAUD

EURBRL

EURCAD

EURCHF

EURCZK

EURDKK

EURGBP

EURHUF

EURILS

EURJPY

EURMXNEURNOK

EURNZD

EURPLN

EURSEK

EURSGD

EURTRY

EURUSD

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0 10 20 30 40 50 60 70 80 90 10014-day Relative Strength Index (RSI)

1Y

Z-sc

ore

of

5d

, 40

d m

ovi

ng

ave

rage

cro

sso

ver

mo

de

l

Vulnerable to a bounce

Vulnerable to a pullback

Are Recent Moves Stretched? Top right pairs have stretched uptrend

readings, overbought RSIs and could be vulnerable to a pullback. Bottom right pairs have stretched downtrends, oversold RSIs and could bounce.

EURAUD

EURBRL

EURCAD

EURCHF

EURCZK

EURDKK

EURGBPEURHUF

EURILS

EURJPY

EURMXNEURNOK

EURNZD

EURPLN

EURSEKEURSGD

EURTRY

EURUSDEURZAR

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

-2.0 -1.5 -1.0 -0.5 0.0 0.5

One-year z-score of one-month ATM volatility

On

e-m

on

th v

ola

tilit

y ri

sk-p

rem

ium

(AT

M-R

LZD

)

Rich gamma, cheap vega

Cheap gamma, rich vegaCheap gamma, vega

Rich gamma, vega

EURAUDEURBRL

EURCADEURCHF

EURCZK

EURDKK

EURGBP

EURHUF

EURILS

EURJPY

EURMXN

EURNOK

EURNZD

EURPLN

EURSEK

EURSGDEURTRY

EURUSD

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

-3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0%5-day, 40-day moving average model

On

e-m

on

th 2

5-d

elta

ris

k-re

vers

al

Trending lower, RR favors calls

Trending higher, RR favors puts Trending lower, RR favors puts

Trending higher, RR favors calls

EURAUDEURBRL

EURCADEURCHF

EURCZK

EURDKK

EURGBP

EURHUF

EURILS

EURJPY

EURMXN

EURNOK

EURNZD

EURPLN

EURSEK

EURSGDEURTRY

EURUSD

EURZAR

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0Up days/down days (one-year history, > 0.5%)

On

e-m

on

th 2

5-d

elta

ris

k-re

vers

al

High RR, low up/down ratio

Low RR, high up/down ratio

EURAUD

EURBRL

EURCAD

EURCHF

EURCZK

EURDKK

EURGBP EURHUF

EURILS

EURJPY

EURMXNEURNOK

EURNZD

EURPLN

EURSEKEURSGD

EURTRY

EURUSDEURZAR

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

-1.0% 0.0% 1.0% 2.0% 3.0% 4.0%1Y - 1M ATM volatility spreads

On

e-m

on

th v

ola

tilit

y ri

sk-p

rem

ium

(ATM

-R

LZD

)

Curves vulnerable to steepening

Curves vulnerable to flattening

How are 1-Month Vols Priced? Vols in the upper right are rich relative to

both history and realized volatility, while vols in the lower left are cheap against Are Risk-Reversals Priced with the Trend? Top right (bottom left) pairs

could trend higher (lower). Top left (bottom right) could correct lower (higher).

What's the Skew View? Pairs in the bottom right and top left have risk-

reversals that are dislocated from the ratio of up to down spot days. RRs could be cheap in the first case and rich in the second.

Vol Curves Vulnerable to Shifts Top left pairs are vol curve steepening

candidates (trading w/ inverted curves, rich gamma); bottom right are flattening

Page 5 of 7

russell@kuma.capitalRelative Value Matrices: FX Options Overview

strategy@kuma.capital

GBP

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

6 March 2018

kumacapital

EURGBPGBPAUDGBPCAD

GBPCHF

GBPDKK GBPHKD

GBPJPY

GBPNOK

GBPNZD

GBPSEK

GBPSGD

GBPUSD

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

-1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5%

One-week momentum (%)

On

e-w

ee

k m

om

en

tum

on

ew

eek

ago

(%

)

Recent strength correcting

Recent weakness correctingDowntrend could be developing

Uptrend could be developing

Scanning for Momentum Shifts Top right (bottom left) pairs could trend

higher (lower). Top left (bottom right) could correct lower (higher).

EURGBP

GBPAUD

GBPCAD

GBPCHFGBPDKK

GBPHKD

GBPJPYGBPNOKGBPNZD

GBPSEK

GBPSGD

GBPUSD

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

0 10 20 30 40 50 60 70 80 90 10014-day Relative Strength Index (RSI)

1Y

Z-sc

ore

of

5d

, 40

d m

ovi

ng

ave

rage

cro

sso

ver

mo

de

l

Vulnerable to a bounce

Vulnerable to a pullback

Are Recent Moves Stretched? Top right pairs have stretched uptrend

readings, overbought RSIs and could be vulnerable to a pullback. Bottom right pairs have stretched downtrends, oversold RSIs and could bounce.

EURGBP

GBPAUD

GBPCADGBPCHF

GBPDKK

GBPHKD

GBPJPY

GBPNOKGBPNZD

GBPSEK

GBPSGD

GBPUSD

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

-1.0 -0.5 0.0 0.5 1.0 1.5

One-year z-score of one-month ATM volatility

On

e-m

on

th v

ola

tilit

y ri

sk-p

rem

ium

(AT

M-R

LZD

)

Rich gamma, cheap vega

Cheap gamma, rich vegaCheap gamma, vega

Rich gamma, vegaEURGBP

GBPAUD

GBPCAD

GBPCHFGBPDKK

GBPHKD

GBPJPY

GBPNOK

GBPNZD

GBPSEK

GBPSGD

GBPUSD

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

-4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0%5-day, 40-day moving average model

On

e-m

on

th 2

5-d

elta

ris

k-re

vers

al

Trending lower, RR favors calls

Trending higher, RR favors puts Trending lower, RR favors puts

Trending higher, RR favors calls

EURGBP

GBPAUD

GBPCAD

GBPCHFGBPDKK

GBPHKD

GBPJPY

GBPNOK

GBPNZD

GBPSEK

GBPSGD

GBPUSD

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

0.0 1.0 2.0 3.0 4.0 5.0Up days/down days (one-year history, > 0.5%)

On

e-m

on

th 2

5-d

elta

ris

k-re

vers

al

High RR, low up/down ratio

Low RR, high up/down ratio

EURGBP

GBPAUD

GBPCADGBPCHF

GBPDKK

GBPHKD

GBPJPY

GBPNOKGBPNZD

GBPSEK

GBPSGD

GBPUSD

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

-0.2% 0.0% 0.2% 0.4% 0.6% 0.8% 1.0%1Y - 1M ATM volatility spreads

On

e-m

on

th v

ola

tilit

y ri

sk-p

rem

ium

(ATM

-R

LZD

)

Curves vulnerable to steepening

Curves vulnerable to flattening

How are 1-Month Vols Priced? Vols in the upper right are rich relative to

both history and realized volatility, while vols in the lower left are cheap against Are Risk-Reversals Priced with the Trend? Top right (bottom left) pairs

could trend higher (lower). Top left (bottom right) could correct lower (higher).

What's the Skew View? Pairs in the bottom right and top left have risk-

reversals that are dislocated from the ratio of up to down spot days. RRs could be cheap in the first case and rich in the second.

Vol Curves Vulnerable to Shifts Top left pairs are vol curve steepening

candidates (trading w/ inverted curves, rich gamma); bottom right are flattening

Page 6 of 7

russell@kuma.capitalRelative Value Matrices: FX Options Overview

strategy@kuma.capital

JPY

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

Source: Reuters, kuma.capital Source: Reuters, kuma.capital

kumacapital6 March 2018

AUDJPY

CADJPY

CHFJPY

DKKJPY

EURJPY

GBPJPY

HKDJPY

NZDJPY

SEKJPY

SGDJPY

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

-2.0% -1.0% 0.0% 1.0% 2.0% 3.0%

One-week momentum (%)

On

e-w

ee

k m

om

en

tum

on

ew

eek

ago

(%

)

Recent strength correcting

Recent weakness correctingDowntrend could be developing

Uptrend could be developing

Scanning for Momentum Shifts Top right (bottom left) pairs could trend

higher (lower). Top left (bottom right) could correct lower (higher).

AUDJPY

CADJPY

CHFJPY

DKKJPY

EURJPY

GBPJPY

HKDJPY

NZDJPY

SEKJPYSGDJPY

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

0 10 20 30 40 50 60 70 80 90 10014-day Relative Strength Index (RSI)

1Y

Z-sc

ore

of

5d

, 40

d m

ovi

ng

ave

rage

cro

sso

ver

mo

de

l

Vulnerable to a bounce

Vulnerable to a pullback

Are Recent Moves Stretched? Top right pairs have stretched uptrend

readings, overbought RSIs and could be vulnerable to a pullback. Bottom right pairs have stretched downtrends, oversold RSIs and could bounce.

AUDJPY

CADJPY

CHFJPY

DKKJPY

EURJPY GBPJPYHKDJPY NZDJPY

SEKJPY

SGDJPYUSDJPY

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0

One-year z-score of one-month ATM volatility

On

e-m

on

th v

ola

tilit

y ri

sk-p

rem

ium

(AT

M-R

LZD

)

Rich gamma, cheap vega

Cheap gamma, rich vegaCheap gamma, vega

Rich gamma, vega

AUDJPY

CADJPY

CHFJPY

DKKJPY

EURJPY

GBPJPYHKDJPY

NZDJPY

SEKJPYSGDJPY

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

-6.0% -4.0% -2.0% 0.0% 2.0% 4.0%5-day, 40-day moving average model

On

e-m

on

th 2

5-d

elta

ris

k-re

vers

al

Trending lower, RR favors calls

Trending higher, RR favors puts Trending lower, RR favors puts

Trending higher, RR favors calls

AUDJPY

CADJPY

CHFJPY

DKKJPY

EURJPY

GBPJPYHKDJPY

NZDJPY

SEKJPYSGDJPY

USDJPY

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

0.0 1.0 2.0 3.0 4.0Up days/down days (one-year history, > 0.5%)

On

e-m

on

th 2

5-d

elta

ris

k-re

vers

al

High RR, low up/down ratio

Low RR, high up/down ratio

AUDJPY

CADJPY

CHFJPY

DKKJPY

EURJPYGBPJPYHKDJPYNZDJPY

SEKJPY

SGDJPYUSDJPY

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

-1.0% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0%1Y - 1M ATM volatility spreads

On

e-m

on

th v

ola

tilit

y ri

sk-p

rem

ium

(ATM

-R

LZD

)

Curves vulnerable to steepening

Curves vulnerable to flattening

How are 1-Month Vols Priced? Vols in the upper right are rich relative to

both history and realized volatility, while vols in the lower left are cheap against Are Risk-Reversals Priced with the Trend? Top right (bottom left) pairs

could trend higher (lower). Top left (bottom right) could correct lower (higher).

What's the Skew View? Pairs in the bottom right and top left have risk-

reversals that are dislocated from the ratio of up to down spot days. RRs could be cheap in the first case and rich in the second.

Vol Curves Vulnerable to Shifts Top left pairs are vol curve steepening

candidates (trading w/ inverted curves, rich gamma); bottom right are flattening

Page 7 of 7