⚖️💱 Rates And FX Volatility Divergence Widens: Cable FX Macro
- Rosbel Durán
- May 11, 2023
- 1 min read
A measure of FX volatility constructed by JPM has failed to catch up with the BofA's MOVE Index since March, the latter spiked on the developments that led to the banking crisis. Despite the rise in rates volatility, the currency vol benchmark has retreated
A normalized comparison, shows the spread between the rates and FX volatility benchmarks widening by 2-sigma, the largest differential since late March
Currency volatility has not underperformed the rate's equivalent by this much since 2008
Comments