⚠️💱High-Beta FX / JPY Moving In Line With Vol Gauge: Cable FX Macro

• Our measure of high-beta FX is an equal weigted basket of AUD, NZD, CAD vs JPY, the chart below shows the series inverted scale compared to J.P. Morgan FX Volatility Index

• We started the year with a broken relationship between vol and high-beta FX as the 25-day correlation stood near 0. The latest print shows the coefficient at -72%, the third strongest short-term rolling daily correlation seen this year

• We have published here the most recent snapshot on FX vols and premiums