J.P. Morgan
Global FX Strategy 2026
FX Volatility
J.P. Morgan 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 JPM carry-to-vol pairs
FXO Themes for 2026
Directional FXO for 2026 themes
European growth solidity via EUR put/PLN call digitals, Antipodean revival via AUD/CHF call spreads, Yen weakness via BRL/JPY calls, USD debasement theme via XAU/USD-USD/JPY dual digitals.
Earning FX carry via options
Carry-to-vol ratios are elevated, favoring options-based carry harvesting in H1 2026. EUR/PLN, CNH/INR, and EUR/TRY ERKOs offer particularly attractive value.
USD/EM skew at historical lows
Monetize by buying USD/CNH ratio put spreads that are net long USD skew. EUR skew is rich; sell topside EUR/high yielder strikes.
Election event risk pricing
FX event risk pricing for 2026 US midterms remains subdued. Hungary election pricing is 3.5X higher than recent historicals. Brazil pricing above 2018 & 2022 average.
USD correlations selling
GBP and EUR correlations are preferred candidates. Sell 3M USD/SEK via GBP correlation, sell 3M USD/JPY via EUR correlation.
FX hybrids for x-asset directionals
FTSE-GBP/USD duals and Eurostoxx-EUR/CHF duals are attractive given low implied correlations and favorable macro views.
Vega model highlights
AUD-USD (G10) and USD-HUF (EM) as top vol trades. AUD vega leverages equity/carry unwinds. USD-HUF benefits from robust carry/volatility profile.
Event Volatility Profile
Current vs historical average
Election & Event Risk
US Midterm Elections
Subdued, expect at most 4-5 pts increase
Hungary Parliamentary Elections
Nearly fully priced at 2.5% breakeven. Consider short topside EUR/HUF.
Brazil General Elections
Elevated but could dip mid-way, creating buying opportunity