⚠️💱High-Beta FX Supported By The Volatility Downtrend: Cable FX Macro
- Rosbel Durán
- Nov 12, 2023
- 1 min read
A measure of global FX volatility constructed by J.P. Morgan has seen declines extending this month, the index is now 52bps lower at 7.59%. Our basket of high-beta FX is higher by 53bps in November
The decline in volatility has supported risk on currencies, the kiwi is taking the lead as it records gains above 1.0% MTD
Our high-beta FX basket and the J.P. Morgan FX Volatility Index hold a short-term correlation of 48%, the relationship has strengthened from a 22% seen at the beginning of November
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