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Exclusive: Quantitative analyzer Goes bearish EUR/GBP

Exclusive: Quantitative analyzer Goes bearish EUR/GBP

On February 23, 2017, Posted by , In Uncategorized, By , , With No Comments

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Quant Signal: Short EUR/GBP.

Models show a confluence of negative signals for EUR crosses. Once again, there are eight downtrends for EUR in G10 and no clear uptrends. Our preferred expression is to short EUR/GBP where the trend is just about to break lower.

In our view, the options market may be re-pricing the balance of risks with EUR/GBP overbought on Brexit fears vs.growing political risks on the continent. The EUR/GBP MAA has recently started descending, while the bearish Up-Down vol indicator shows greater downside volatility.

Lastly, the Residual Skew is now tilting for EUR/GBP puts.

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