USD risk premium was quickly priced out following Jackson Hole. However, the distribution of risks remains skewed towards the next significant volatility event being USD-negative, in our view. A dovish Fed surprise would undermine the credibility Warsh regained last Friday, the US Treasury remains active, and US midterms increase the risk of policy surprises," BofA notes.

"In our view, the risks remain tilted towards a renewed rise in USD risk premium during H2. In that environment, buying USD downside protection through EUR and CHF remains attractive," BofA adds.