⚠️1-Week FX Implied Vols Trade Above Par: Cable FX Macro
- Rosbel Durán
- Dec 9, 2022
- 1 min read
FX implied volatility on the 1-week tenor are trading above par with the euro posting a slight leadership
JPY 1-week implied vol ticks 500bps above the historical vol equivalent, it has not been this high since late October
For the British pound, we would have to go back to December 2020 to see the spread at these levels
The euro vol spread has not been this high on the 1-week tenor since October 2020
1-week volatility is pricing U.S. CPI, FOMC, ECB, and BoE. This would be the last most important week of 2022
We would like to note that the euro 1-month tenor remains at 9.875% vs the 1-week 14.395%. The curve inversion in euro vol has widened on the back of longer-tenors falling on the week
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