A measure of FX volatility constructed by J.P. Morgan is making new lows, the index is now at 9.2% vs the 10.4% read at March close
The month-to-date 1.2 vol decline is being translated to a 88p rise in our high-beta FX basket. Our measure is now throwing a 62% 25-day correlation to the FX vol index
FX volatility and high-beta FX were unattached earlier in the year, the 25-day correlation was flat in February, and it didn't become statistically significant until mid-March
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