⚠️💱High-Beta Currencies Decoupling From Vol: Cable FX Macro
- Rosbel Durán
- Oct 19, 2023
- 1 min read
Both FX volatility and our basket of high-beta FX vs the Japanese yen have remained relatively unchanged for the month. The FX volatility measure is diverging from equity and rates vol indexes
Are we going to see a shift in the FX vol downtrend? We have seen an uptick in G10FX historic volatility, perhaps implied vols could grab some traction from here
The relationship between high-beta currencies and vol is now diminishing, this could be due to other drivers taking the market's attention, for now. The 25-day correlation coefficient between FX vol index and the high-beta FX basket is now -20% vs -43% at the start of the month
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