25 Mar 2015
FX volatility trends lower- Scotiabank
FXStreet (Barcelona) - Camilla Sutton CFA, CMT, Chief FX Strategist at Scotiabank, notes that the FX markets have shifted, with volatility trending lower over the last week.
Key Quotes
“FX market shifts—over the last week FX volatility has trended lower, but remains elevated across pairs. The elevated volatility reflects in part the shift back towards normalization of monetary policy (where central bank policy helped to suppress vol after the financial crisis and now as it returns to more normal policy will remove the artificial suppression). This is an important reflection of a change in market dynamics.”
“In addition, the average high to low daily range has jumped higher across most currencies. The USD DXY index average daily range has jumped up to 142 points from an average over the last 5‐years of 56‐points. Together these market developments reflect ongoing risk to violent FX swings.”
Key Quotes
“FX market shifts—over the last week FX volatility has trended lower, but remains elevated across pairs. The elevated volatility reflects in part the shift back towards normalization of monetary policy (where central bank policy helped to suppress vol after the financial crisis and now as it returns to more normal policy will remove the artificial suppression). This is an important reflection of a change in market dynamics.”
“In addition, the average high to low daily range has jumped higher across most currencies. The USD DXY index average daily range has jumped up to 142 points from an average over the last 5‐years of 56‐points. Together these market developments reflect ongoing risk to violent FX swings.”