Our monthly update captures G10FX beta to volatility, we look at both nominal and change values. The Swiss franc was the G10 currency with the highest increase in sensitivity to the volatility benchmark, CAD and EUR followed
The Cable FX Macro Dollar Index is the only measure to record a positive beta to volatility, unsurprisingly, the yen follows the USD with a marginal negative reading
What caught my attention is the fact that the Swiss franc is detached from its historic risk profile, the franc tends to record positive B to vol. Our calculations run over the last 6-months, this period captures the YTD 7.3% drop in the CHF
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