⚠️💱 Loonie, Dollar Most Sensitive to Volatility Swings: Cable FX Macro

• Looking back at a history of daily returns over the previous 6-months, the USD and CAD stand as most sensitive to the volatility benchmark

• The dollar remains as the only positive beta to vol in the G10. Looking at the negative betas, it is interesting that the EUR and CHF follow CAD instead of the usual high-beta FX group

• The desk at ING recently noted global risk as a driver to EUR/USD, this could explain why the euro stands here in the G10 ranking

• Looking at the R^2 coefficients, NOK and CAD stood at the highest in the G10. We could also say that the high-beta complex had the higher coefficients to volatility over the past 6-months (AUD, SEK, NZD, CAD, NOK)