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Implied FX Volatility Within Recent Ranges

FOREX

1 Month Implied volatility in FX markets, measured using the JP Morgan G-10 Volatility Index, remains well within recent ranges after ticking away from cycle lows registered in mid-June.

  • The index prints at 8.21%, having ticked away from month to date highs printed early this week at 8.39%. Cycle lows of 7.04% had been printed in mid-June.
  • Implied FX Volatility remains stable despite the pressure on the USD seen in recent dealing after softer than forecast CPI, and terminal FOMC rate projections winding back in OIS markets.

Fig 1: JPMorgan G10 FX Volatility

Source: JP Morgan/Bloomberg/MNI

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