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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
FOREX
- We know that G10 currencies tend to react differently in periods of rising and falling volatility.
- This chart shows the average monthly performance of the G9 currencies (vs. USD) when the VIX rises above 20 since January 1990 (VIX inception); the choice is arbitrary but a VIX higher than 20 has generally been defined as a 'high-volatility regime'.
- As expected, the Yen is the best performer in periods of rising price volatility, with JPY averaging 45bps in monthly returns in the past 30 years.
- The Swiss franc, also known as the 'alternative safe', has also reacted positively when VIX spikes, with CHF averaging 11.5bps in monthly returns.
- Surprisingly, the British pound is the weakest currency in high-volatility regime, with GBP averaging -30bps in monthly returns; as a reminder, GBPUSD fell by 13.5% during the March 2020 panic to a low of 1.1412 when the VIX exploded.
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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