DB-FX Blog Sell one-year Gold vol against G10 vol-20251003
这篇研报讲什么？
摘要原文摘录As gold volatility trended higher this week on the back of higher spot, we ran a quick scan using our "all in" random forest model to identify currency pairs that appear to be mos…
机构观点归属德意志银行，研报雷达仅作摘要整理与机构观点聚合。以下为研报摘要原文摘录，内容以原始报告为准。
研报摘要
As gold volatility trended higher this week on the back of higher spot, we ran a quick scan using our "all in" random forest model to identify currency pairs that appear to be most underpriced versus gold at current levels of macroeconomic and financial variables. In particular, we looked at volatility spreads rather than outright vol. We find gold vols most stretched against EUR/USD, NZD/USD and USD/JPY in the one-year space.
Our model, which integrates US economic growth, interest rates, stock market volatility and valuation, and credit spreads, clearly indicates that the current market-implied volatility spread for gold vs G10 pairs exceeds our corresponding one-year realized volatility spread forecast.
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