The J.P. Morgan FX Volatility index has increased 1.5 points to 11.6 vols over the last month, this same period saw the dollar appreciate 4.8% vs an equal weighted basket of selected currencies (CAD, antipodes, and scandies)
The 20-day correlation between the vol and the USD basket remains significant at 57%, however, this is off 95% seen in mid-June
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