The gauge measuring global FX implied volatility reached the highest level since the pandemic crisis hit in March 2020. Participants are looking to hedge swings in FX rates as the pound fell to record levels and the Bank of Japan intervened to support the yen
Overnight volatility in EUR and GBP also reached the highest since March 2020. The Euro has been extending losses to the dollar, 1-month risk reversals jumped to 2.0 vols favouring EUR puts, the skew has not seen this levels since mid-July
The J.P. Morgan Global FX Volatility index is off the highs seen in Tuesday session, last at 12.56%. Volatility levels in 2022 are still within the range of the last couple of years, the March 2020 high printed at 15.45%
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