An equal weighted basket of high-beta FX spot vs the dollar is trading in line with implied volatility. The J.P. Morgan FX Volatility Index moved higher by almost 1 vol last week, this left the gauge at 11.61%. Meanwhile, the hig-beta FX basket dropped by 1.5% to the dollar.
The 25-day correlation between FX volatility index and the high-beta basket stands at 0.91 (basket is inverted for visual guidance)
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