⚠️💱G10FX Relationship to Volatility Holding: Cable FX Macro

• Over the last six months, the relationship between G10 FX and the CBOE VIX Index has been largely textbook in nature, with the US dollar acting as a safe haven asset in times of rising volatility. In this regard, beta quantifies how sensitive G10 currency pairs or baskets are to the VIX. A positive beta for the dollar means that it tends to strengthen when fear in equity markets increases, whereas risk-sensitive currencies like the Australian and New Zealand dollars tend to have a negative beta, weakening when volatility spikes.

• This robust re-assertion was recorded from December 2025 to mid-June 2026. Geopolitical tensions, especially the Middle East flare-up, caused periodic spikes in VIX, where the dollar index showed positive beta in the rough range of +0.3 to +0.55 on a rolling basis. That was a move back toward traditional safe-haven behavior after some decoupling earlier in 2025. Meanwhile, risk currencies such as AUD and NZD, which is more sensitive to the VIX index, have continued to sell off on the back of rising VIX (and risk-off episodes).

• Use our G10FX beta tracker to keep note of which currencies are sensitive to the volatility benchmark.