From: "Daniel Sabba (DEUTSCHE BANK SECURI)" To: undisclosed-recipients:; Bcc: [email protected] Subject: (BV) No One Expected to Lose This Much on Swiss Francs: Matt Lev Date: Sun, 18 Jan 2015 20:00:26 +0000 (BV) No One Expected to Lose This Much on Swiss Francs: Matt Lev ine This has been prepared solely for informational purposes. It is not an offer, recommendation or solicitation to buy or sell, nor is it an official confirmation of terms. It is based on information generally available to the public from sources believed to be reliable. No representation is made that it is accurate or complete or that any returns indicated will be achieved. Changes to assumptions may have a material impact on any returns detailed. Past performance is not indicative of future returns. Price and availability are subject to change without notice. Additional information is available upon request. --+ No One Expected to Lose This Much on Swiss Francs: Matt Levine 2015-01-16 19:34:40.111 GMT By Matt Levine (Bloomberg View) -- One does not normally see sharp right angles in financial charts, but you could pretty much cut yourself on this chart of the volatility of the Swiss franc against the euro: Source: Bloomberg (as are the rest) One straightforward takeaway is: Whoa, that volatility is super high! But perhaps a more useful takeaway is: Whoa, it was super low for a really long time! This is of course because the Swiss National Bank capped the franc's value against the euro: The SNB wanted a price of no less than CHF 1.20 per euro, and the euro itself wanted a price of no higher than CHF 1.20 for reasons of its own, so the result was pretty much a peg at slightly above 1.20. In the 12 months ending on Wednesday, the euro traded in a range of 1.20095 to 1.23640 francs: That chart looks more jagged than it is, because you're standing too close to it. Here, I've zoomed out by two days: Those two days -- yesterday and today -- really put the previous