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⚠️💱 FX Volatility Declines On The Week: Cable FX Macro

**As seen in Macro Walk report 03/17/23, subscribe at

  • Despite the market turmoil caused by the banking sector and the massive volatility in rates, FX implied vols declined on the week, ex. EUR/GBP and USD/JPY

  • High-bet FX saw IV ticked lower across tenors, we would look at this front as a benchmark for market expectations and sentiment. Even EUR/USD front-end vol fell by 62bps to 10.56%, vol structure in the euro holds an inverted curve

  • Looking at the exceptions, we're set to hear from the BoE, the 1w tenor captures the event, this went up by 79bps on the week to 8.373%. If the central bank was to be perceived as dovish or hold rates steady, the policy divergence could be seen filtered into cross-assets as the ECB held ground and hiked rates by 50bps last week



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