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⚠️G10FX Volatility And Carry Return Rise Over EMFX: Cable FX Macro

  • J.P. morgan measures of FX implied volatility show the G10FX 1-month tenor rising over the EMFX equivalent, the spread is set to extend to its highest since 2017. Back then, we had followed a period of synchronized growth and volatility measures were subdued

  • We have also seen another interesting development in FX markets. A Bloomberg index of carry returns shows G10FX performance rising over the EMFX basket. The index is a measured portfolio of long high yielders / short low yielders. This G10FX carry out performance has not been seen since 2004



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