Bank of America
FX Outlook 2026: Structural Dollar Headwinds
FX Volatility
Bank of America volatility outlook, carry-to-vol analysis, and event risk
Carry-to-Vol Ratios
Higher ratio = more attractive carry trade. Color = quality score
Quality Distribution
Carry trade quality scores
Carry Pairs: Live Rate Tracking
Current live rates for BofA carry-to-vol pairs
FXO Themes for 2026
Structural USD weakness via options
Express USD bearish view through EUR/USD and GBP/USD call spreads. 6-month tenors preferred to capture fiscal catalyst timeline. Risk reversals favor EUR topside.
Scandi vol underpriced
NOK and SEK implied volatility is cheap relative to expected moves from European fiscal expansion. Buy EUR/NOK and EUR/SEK put spreads.
EM carry via options
Carry-to-vol ratios in ZAR, BRL, and HUF remain elevated. Use ERKO structures to harvest carry with defined risk. EUR/HUF election vol is rich - sell.
JPY vol for carry unwind
JPY volatility is cheap relative to the asymmetric risk of carry unwind. Buy USD/JPY puts and JPY cross puts as portfolio hedge.
Election risk calendar
Brazil October elections and US midterms in November 2026 will create vol spikes. Build positions ahead of event risk pricing normalization.
Event Volatility Profile
Current vs historical average
Election & Event Risk
Hungary Parliamentary Elections
Overpriced. Sell topside EUR/HUF one-touches.
Brazil General Elections
Fair pricing. Build long BRL vol positions in Q2 for value.
US Midterm Elections
Start accumulating USD vol in Q3 ahead of pricing.