⚠️FX Short-Term Vol Back Below Par After Key Events: Cable FX Macro

**As seen in Macro Walk report 12/16/2022, subscribe at cablefxm.co.uk/reports

• We headed into major key events with implied volatility readings above realized, the docket saw a number of central banks decide on monetary policy and U.S. inflation

• This week, short-term volatility tenors fall, the largest declines were seen in GBP/USD and EUR/USD, the latter fell 6.1 vols to 8.298% in 1w IV

• As tenors decline across the board, the volatility premium is extended all the way to the 1y tenor, the largest spreads are seen in the 2m and 3m tenors

• All of this means that implied volatility is now undervalued across the curve. A measure of FX volatility compiled by J.P. Morgan fell 88 basis points on the week to 9.76%