**G10FX Volatility measured by J.P.M G10FX Vol Index
This week, we compared selected FX baskets to implied volatility. We have noticed a bit of decoupling in spot/implied vol correlations since July, the extent of the divergence is of course different in the FX subgroups
When looking at a high beta basket like CAD, NZD, AUD vs JPY, the 25-day rolling correlation weakened to -20% in August from a -75% seen a month before. At this time, J.P.M G10FX Vol index dropped while the high beta FX posted consecutive days of weakness (*FX basket series in the graph are inverted)
Looking at mid-August to date, we can see a bit of correction in spot markets where high beta has seen bids and moving more in line with volatility. This week, the G10FX index was unchanged and the last read on correlation between implied vol and the high beta basket ticks at -66%
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