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FX Vol Set To Increase On Quarter End Rebalancing
The ebbs and flows in the Forex market were rather subdued on Monday, with volatility measures dropping to the lowest in the last month as the progressive decrease in vol stays the course. Nonetheless, the new normal is for currency swings of a much larger magnitude than we were used to before all hell broke loose. Besides, with a VIX index still above 50.00 and month/quarter end to kick in, there is a real potential for increased activity in equity/bond and FX today. As an aperitif, we’ve seen sudden spikes in the Yen, US Dollar and Aussie crosses during Tuesday’s final fiscal day in the Tokyo fix. At the risk ... (full story)