This week alone saw the J.P. Morgan FX Volatility Index moving higher by about 100bps to 10.7%, the volatility gauge had its best week since the end of April. The dollar, which has seen its correlation to FX volatility strengthen, posted its best week since June of last year, BBDXY jumped by 1.9% and the Cable FX Macro USD Equal Weighted Index® raised by 2.2%
A basked of high-beta currencies vs the dollar moved in line with the FX volatility index, AUD and NZD gave 2.07% and 2.12% to the dollar, respectively. The dollar/FX vol correlation has been strengthening since late February, as of writing, the 100-day correl stands at 0.56. When it comes to daily returns, the volatility variable stands for an R^2 of 0.31 in BBDXY performance
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