-
FX Vol Elevated, but Still Modest
With the substantial swings in the volatility of equities that have captured the imagination of journalists and punished investors who bought financial derivatives that profited from the low vol environment, we thought it would be helped to look at the implied volatility of the leading currencies against the US dollar. The Great Graphic looks at the three-month implied volatility for the euro (white line), the yen (yellow line), and sterling (green line) over the past year. One thing that is immediately clear is that implied volatility had been trending higher in the foreign exchange market prior to the sell-off in ... (full story)