10/29-perfect hedge

this is in my mailbox today and I like to share with you guys...

The VIX was up 3 points to just under 28%. If you are still reading, please keep reading as I find the next point pretty interesting. 1-month USDBRL vol is currently 20 offered, up 2 vols on the day. 1-month AUDJPY vol is currently offered at 20, up 1.5 vols on the day. The peak to trough range on the S+P today was 2%. The peak to trough range on the BRL first future was 3.0%. In AUDJPY, it was 3.4%. What is my point? Surveys and positioning reports notwithstanding, positions appear to be even more stretched in FX than they are in equities. Or perhaps they are just in more nimble hands who aren’t measuring their performance versus an equity benchmark. Either way, I would argue that FX vol is too cheap, making it a perfect hedge for equity/commodity exposure as we head into year-end. Please let us know if you want to see any hedging ideas as we spend virtually all day everyday looking for creative ways to hedge against tails.