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⚠️💱G10FX Sensibility to Vol Benchmark Rises: Cable FX Macro

  • Our monthly update on G10FX beta to the volatility benchmark showed an increase of sensibility across the group, the dollar is no longer the top ranker as the JPY now holds the highest (+) beta

  • Our own measure of the dollar, the Cable FX Macro Dollar Index <.RDDXY>, now holds a beta of 2.0 to the volatility benchmark when looking back at the last 6m on a daily basis, this is 20bps higher than our prior update

  • The yen beta to volatility is now at 2.85 up from the prior 2.1, this makes the currency holder of the highest positive beta in the group. The Canadian $ is following its historical pattern and remains the most sensitive (-) beta in the G10


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