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Writer's pictureRosbel Durán

⚠️💱Volatility Stays Bid, 1y Premiums Rise Across The Board: Cable FX Macro

**As seen in Online Tools>Volatility Monitor, get access now! cablefxm.co.uk


  • The upper tables allow a comparison of FX volatility premiums and weekly implied vol changes across tenors. 1y vol continues to rise following the U.S. election results.

  • USD/CNH, AUD/USD implied-realized volatility spread is now at 325bps and 232bps, respectively. This means that implied volatility in the pair is expensive compared to historical moves.

  • There is a clear divergence in the structure when comparing USD/JPY steepness vs EUR/USD inversion, the latter means that hedging against wider swings short-term is bid vs the long-term, this includes the tenor covering the December ECB meeting


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