Our measure of the dollar, the Cable FX Macro Dollar Index <.RDDXY>, is recording its best monthly performance since September 2022. Meanwhile, J.P. Morgan's gauge of G10FX volatility is posting its third-largest monthly rise in October
All of this comes to question, how are the factors performing? We know some baskets are market neutral while others are highly sensitive to changes in volatility
The Cable FX Macro G10FX Model Composite posts MTD gains on long GBP and CAD vs NOK and CHF. *You can select the desired basket to see the components using the panel below
Overall, the nature of the factors remains in place as the historical correlations are playing out in October. Spread and momentum (-neg. correl)
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