I keep getting peppered with queries about the rising volatility. Some want to link it to the FOMC meeting this week or the modest participation in the ECB's new TLTRO facility. However, the implied volatility picture is more complicated. This Great Graphic, created on Bloomberg, shows the implied three-month volatility of the euro (white), sterling (yellow) and yen (green). Yen vol remains elevated, which makes sense given that the dollar continues to make new multiyear highs against the Japanese currency. The real news is the drop not the increase in 3-month implied volatility for sterling and the euro, and that ... (full story)