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Writer's pictureRosbel Durán

💱⚠️Dollar Yen Hedging Demand Rises On The Week: Cable FX Macro

**As seen in Macro Walk report 10/21/22, subscribe at cablefxm.co.uk/reports


  • Implied volatility is most undervalued in the 1mo tenor across our watch list. Sterling crosses post almost 700bps premiums, while the differential is reduced into the curve, the three-month tenor is still some 100bps undervalued

  • Speaking of GBP, pound hedging demand declined the most this week, 1mo IV fell 200bps and the 1w tenor dropped by almost the same magnitude

  • The USD/JPY implied vol curve posted a sharp rise as the front end led this week. 1w vol came higher by circa 6 vols to 19.5%, the 1mo tenor ticks at 15.7%



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