August G10FX volatility beta update saw safe havens return to their historical profiles, the dollar had been the only +B for most of the year. Now, the yen and the franc post the largest sensibility increases vs our prior reading
Recent changes have not taken the crown off the dollar, as it remains the highest positive beta in the G10. The Canadian dollar holds the top negative beta, unchanged from our prior update
The euro has shifted spots from July's sensibility readings, it went from one of the most negative betas in the group to neutral. It now has a 6-month r^2 of 0.0, this means that the euro may not be as affected in the case of a volatility increase episode. This is shown in the recent Aug. VIX spike where the euro outperformed most of G10 peers except the franc and the yen
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