⚠️💱FX Volatility Premiums Fall Below Par: Cable FX Macro

**As seen in Macro Walk report 05/12/23, subscribe at cablefxm.co.uk/reports

• Front-end implied volatility premiums dip this week as the tenor falls across the board (ex-dollar/yuan). The EUR/USD 1w IV declined by 1.0 vol to 6.69%, the 1m tenor is now above 1w, meaning the volatility curve is not inverted

• The largest drop was seen in USD/JPY as the 1w IV fell by 2.5 vols to 8.13%, this sent the volatility premium almost 100 basis points below par, this means that implied volatility is now lower than realized volatility

• A measure of G10FX volatility constructed by J.P. Morgan declined by almost 40 basis points on the week, last at 7.90%. The gauge is now at the lowest level since March 2022