🐍🦅 Mexican Peso Vol/Spot Correlation Remains Intact: Cable FX Macro

• The USD/MXN volatility structure rises on Tuesday after the peso breached the 18.0 level to the downside, this was followed by MXN weakness as the spot rate led EM losses on the day

• 1w impleds now stands above 15.0%, up almost one vol on the day. The move is significant as the MXN spot/vol correlation remains positive at 75% over the last month

• Realized volatility had seen a spike following the election results, this sent implieds to be massively undervalued, with the 1w tenor reaching a real-implied spread of around -16 vols. Last reading is almost flat, however, the recent softness in the peso sees real vol ticking higher at 14.13%