BofA Positioned for Medium-Term CAD Strength vs USD 💪🔜" 

The bank reports they are currently positioned for medium-term CAD strength vs the USD via a 2m6m put calendar spread. The risk to this trade, they point out, would be a much higher Fed terminal rate than expected while the Bank of Canada's policy rate continues to stay on hold.

Expectation of Rising USDCAD Realized Volatility 🔮🔺

BofA notes that the short-dated USDCAD implied vol drifted lower in April due to underperforming realized vol, primarily due to lower equity vol and lack of FX spot trend for USDCAD. However, they expect these dynamics to change and the realized vol to rise given the imminent growth downturn amid US debt ceiling risk.