The correlation coefficient between dollar pairs and FX volatility strengthens this week, EUR/USD - J.P. Morgan FX Vol Index correlation rises to 83% from 64% a prior week
We have seen a decline in dollar / G10FX over the last couple of weeks, measures of currency vol have also corrected somewhat.
We remind you that FX and rates vol have outperformed equity vol over the course of the year.
If currency volatility is set to make a comeback into year-end, we could see dollar strengthen vs peers, especially high-beta FX like AUD, NOK and CAD
Commentaires