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FX Vols on Front Foot, With Risk Proxies Seeing a Particular Focus

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  • The bout of risk-off stemming from the SVB contagion concerns is making waves across FX vol markets, with the 3m - 1y section of the G10 vol curve notched higher. Gains are led by risk proxy currencies and most notably AUD: AUD/USD 1m implieds have been marked higher to 13.5 points and the highest level since mid-January, potentially capturing any more of the extended fallout from the global banking sector as well as the Mar22 Fed decision.
  • The price action is mimicked in other risk-sensitive currencies, with USD/MXN vols clearing the early December highs to touch the highest levels since late September.
  • At the extreme short-end, AUD/USD, USD/ZAR and USD/CAD overnight vols have built the largest vol premium ahead of the NFP release later today, suggesting these currency pairs could be a focus in any market reaction to the jobs report.
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