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FX Options Volume and Currency Returns by balansarang is a document available to read on EtoBox.

What is FX Options Volume and Currency Returns about?

The document analyzes the predictive power of foreign exchange (FX) option volume on future exchange rate changes using a unique dataset of OTC FX options. It finds that FX option volume can forecast currency returns, particularly when the convenience yield of US treasuries is high, with informed traders showing superior skills in predicting rates. The study contributes to the understanding of FX options

Author

balansarang

Language

EN