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FOREX: Overnight Vol Surges For USD/CNH & USD/MXN Ahead Of US Election

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Implied FX vols in the overnight space have surged today to reflect US election risk. The table below outlines the current implied vols across the G10 FX pairs and for a number of EM currencies, which are seen risk around the US election outcome. It also plots the implied ranges for the next day, based off these implied vol levels. 

  • USD/MXN clearly stands out, at very elevated levels. This isn't at intra-day record highs, which got near 100% in 2008 (during the GFC), per Bloomberg.
  • USD/CNH overnight vol is also very elevated and also implies a very wide range in terms of spot, 7.0388-7.1841, with a near 74% implied probability.
  • For other pairs we at elevated levels, but at that this stage, not at record highs for the likes of AUD/USD and NZD/USD. 

Table 1: Overnight FX Vols & Implied FX Ranges  

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Implied FX vols in the overnight space have surged today to reflect US election risk. The table below outlines the current implied vols across the G10 FX pairs and for a number of EM currencies, which are seen risk around the US election outcome. It also plots the implied ranges for the next day, based off these implied vol levels. 

  • USD/MXN clearly stands out, at very elevated levels. This isn't at intra-day record highs, which got near 100% in 2008 (during the GFC), per Bloomberg.
  • USD/CNH overnight vol is also very elevated and also implies a very wide range in terms of spot, 7.0388-7.1841, with a near 74% implied probability.
  • For other pairs we at elevated levels, but at that this stage, not at record highs for the likes of AUD/USD and NZD/USD. 

Table 1: Overnight FX Vols & Implied FX Ranges  

Keep reading...Show less