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❗️ Volatility And Dollar Moving In Line: Cable FX Macro

Writer's picture: Rosbel DuránRosbel Durán
  • 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



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