1
Sentiment — Risk Reversals
Risk reversals on the Canadian Dollar are right around their average level for the last 12 months at negative 0.80 (quoted in vol terms). Translation: the options market is pricing the relative value of out of the money puts and calls of the same maturity such that there is no significant divergence between current prices and option market expectations.2
Producer Purchasing Power Parity
Our currency is priced right where it should be relative to Producer PPP. For more on this, see our previous posting here.3