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Implied Volatility Lowest In Two Weeks


1 Month Implied volatility in FX markets, measured using the JP Morgan G-10 Volatility Index, has ticked lower in recent dealing and sits at its lowest level since 23 June.

  • The index prints at 8.11%, having ticked away from early month highs at 8.50%. We do remain above year to date lows which were printed in mid-June at 7.90%.
  • Option markets remain calm with implied vol well below elevated levels ahead of Australian Trade Data, German Factory Orders and a slew of US data including ADP Employment, ISM Services and the latest NFP print which highlight Thursday and Friday's data dockets.

Fig 1: JPMorgan G10 FX Volatility

Source: JP Morgan/MNI/Bloomberg

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