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Implied Volatility Ticks Lower, Remains Stable

FOREX

1-Month Implied volatility in FX markets, measured using the JP Morgan G-10 Volatility Index, sits well within recent ranges and has been ticking lower in recent dealing.

  • The index sits at 7.19%, well within the range observed since April, we did print as high as 7.64% last week.
  • Implied volatility across G-10 FX remains relatively stable, looking ahead we have RBNZ monetary policy decision, Australia Oct CPI tomorrow, German Regional and National CPI and US GDP all cross tomorrow.

Fig 1: JPMorgan 1-Month G10 FX Volatility

Source: JP Morgan/MNI/Bloomberg

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