Monday session saw headlines of domestic risks to Mexican peso push dollar/peso higher, the INE has validated Morena's super majority while the Mexican president rejects criticism of the judiciary overhaul
Looking at USD/MXN 3m implieds, the peso holds the highest volatility in the Latin American currencies group. This means that if we get a carry comeback, the peso would be the least favoured in the space
While most currencies have seen higher vol in August, the peso stands out as it remains at the top end of the 1y range and 4.5 vols off its average. Also, USD/MXN vol screens cheap as the implied-historic spread stands negative by 276bps, the most in the currency space
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