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Writer's pictureRosbel Durán

⚠️🔻 Cross Asset Implied Volatility Continues to Diverge: Cable FX Macro

  • Measures of implied volatility continue to set path away from each other. When comparing rates and equities implied vol indexes, the former increased on the week while the latter finished lower

  • The VIX ended the Friday session at around 29.70, the index has pared some of that downside on Monday, last at 30.0

  • J.P. Morgan FX volatility index ended the week higher by about 20bps, last at 12.62%, this is off the 10.62% lows seen in August

  • Recently, some desks have written about a shift in hedging needs from market participants. A strategy that buys puts to protect from S&P 500 downside is losing money YTD


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