Goldman Sachs
Global FX Strategy 2026
FX Volatility
Goldman Sachs 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 GS carry-to-vol pairs
FXO Themes for 2026
Directional FXO for USD downside
EUR/USD call spreads, USD/JPY puts, and AUD/USD calls offer attractive risk/reward for 2026 USD bear thesis. Skew provides cheap topside in EUR and AUD.
BOJ normalization vol
JPY vol is mispriced for the degree of BOJ normalization expected. Buy JPY vol via USD/JPY puts and EUR/JPY downside structures. JPY crosses offer best gamma.
EM carry via options
Carry-to-vol ratios remain elevated in EM. EUR/PLN, USD/BRL, and EUR/HUF one-touches offer attractive carry harvesting. Prefer funded structures to naked carry.
European fiscal vol catalyst
German fiscal expansion and EU defense spending create positive vol catalyst for EUR crosses. EUR/CHF upside and EUR/SEK downside via options capture this theme.
Election risk calendar
2026 election calendar (Hungary Apr, Brazil Oct, US midterms Nov) creates discrete vol events. Current pricing varies - Hungary overpriced, Brazil fair, US midterms underpriced.
Commodity FX gamma
AUD and NOK gamma is cheap relative to spot move potential. Buy AUD/USD and sell EUR/NOK vol structures to capture commodity cycle upside with defined risk.
Cross-asset hybrid opportunities
Low implied FX-equity correlations create value in dual digital structures. Eurostoxx-EUR/CHF and ASX-AUD/USD duals offer leveraged exposure to growth themes.
Event Volatility Profile
Current vs historical average
Election & Event Risk
US Midterm Elections
Underpriced - expect 5-6 pts increase as Nov approaches
Hungary Parliamentary Elections
Overpriced at 3.3x historical. Sell topside EUR/HUF structures.
Brazil General Elections
Fairly priced. Look for dips in H1 to accumulate BRL vol cheaply.