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⚠️💱 High-Beta FX Chases Volatility Lower: Cable FX Macro

  • A measure of FX volatility constructed by J.P. Morgan extended downside last week, index closed Friday session 40bps lower from where it was two weeks ago

  • Our basket of high-beta currencies vs the yen moved higher, in line with the historical relationship between volatility and high-beta currencies

  • This could explain why the group posted relative strength while risk assets fell sharply in post FOMC trading

  • The high-beta FX basket is recording month-to-date gains of 1.7%. We saw the group outperform into the summer as the volatility benchmark posted declines

  • As of last week, a 25-day correlation coefficient of the volatility index and our high-beta currency basket stands at 80%



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