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💱 Canadian Dollar Remains Most Attractive Yield to Vol: Cable FX Macro

  • Using dollar as base, we ranked the carry for each G10 currency compared to its volatility profile. As we have seen in previous weeks, the CAD remains the most attractive in the carry/vol ratio, while it is followed by the kiwi, the gap is wide

  • The NZD and the CAD hold 1mo deposit rates of 3.2% and 3.6%, respectively. The difference is not as big as when compared to the NOK's 2.7% 1mo rate, but the kiwi 1mo implied volatility ticks at 17.8% vs the loonie's 12.02%. This leaves the CAD in a far more attractive stance

  • It is interesting that the 1mo implied vol tenor in GBP is among the higher in the G10 (18.5%), however, it is not bottoming the group. The GBP carry/vol ratio stands at a better spot than the SEK and EUR, despite the recent build in ECB rate hike bets


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