All quiet on the western front...

Well, your favorite macro correspondent is back from his break. It's going to take a few days to get back into the swing of things but I may not have that much time...

Meanwhile, a quick look at USD should be a good complement to your morning coffee - the vol has been essentially sideways for the past couple of months and the carry unwind risk is back to the middle of Greenspan-era liquidity. Yup nothing to see here folks, move it along. 

(quick note: the big moves in the unwind risk index have been in the IMM and swap spread z-scores - take that as you will)

Thanks to BarCap for the research

Sphere: Related Content

Bookmark this post with:

• 
• 
• 
• 
• 
• 
• 
• 
• 

Quick look at lowered FX volatility in the face of dramatic news announcements

Over the past few months, we've been seeing decreased volatility in USD and JPY despite a slew of body blows coming out on the news calendar. From broad based indicators (ups and downs of second derivs of major demand indicators) to specific items that do not seem restricted to the "unlikely to repeat" pile going forward (anything FOMC related) we have to wonder if the pressure is building. Much of the decrease has been attributed to the various natures of the currencies but even considering that, buying volatility on the two majors seems like a smart play especially as the technicals look promising on implied vol for short/mid term forwards. We'll leave it to the readers to discuss specific trades.

Below is FX vol over the past 6 months for USD, JPY and a historical look at what's been coming out of the calendar (hint:  having a > 1.0 z-score is pretty drastic stuff)

Thanks to BarCap for data

Sphere: Related Content

Bookmark this post with:

• 
• 
• 
• 
• 
• 
• 
• 
•