⚠️💹Yen Less Reactive to Volatility Benchmark: Cable FX Macro

• A basket of yen vs high-beta FX is trading heavily, despite the lack of innovations in currency volatility. The J.P. Morgan Global FX Volatility Index is rebounding, however, it remains within recent ranges while the yen is making fresh highs vs G10FX peers.

• Looking back at yen vs currency volatility correlation, the latest 120-day coefficient is the lowest since 2014. The relationship has been historically negative with an average coefficient of around -0.45, the latest reading stands at -0.09.