FX volatility skyrockets towards 2008 highs

Volatility in the FX markets has significantly increased over the last week with one-week vol posting its widest one-day advance on record Monday. The one-week vol later hit fresh cycle highs on Thursday. This shift in volatility comes at a time when investors are seeking refuge from a potential global recession as the coronavirus spreads around the world.

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  • FX Rates
    March 12, 2020

    Rates are not real time. Rates are today's indicative mid-market rates as of time of publishing, which may vary. Please contact SVB for a current quote.

  • USD
    US dollar is higher for a third day as traders move to risk-off sentiment following President Trump’s speech where he announced travel restrictions from Europe to the US and details of a US stimulus program still being negotiated.
    Sterling hit a new day-low at 1.2690 falling 1%. The currency falls to its lowest level since mid-October as investors anticipate details on the response of the corona virus from the UK.
    EUR/USD is on track for a third day of losses and is trading lower than Monday’s one-year high. The rally earlier since Mid-February was somewhat attributed to the narrowing rate differential between the US and the eurozone along with carry unwinds.
    The Canadian dollar fell to a 4-year low as oil continues to weaken. USD/CAD traded above 1.38 to its highest level since February 2016.
    The Australian dollar fell after news from the government of a AUD$17.6 billion fiscal stimulus plan fell short of expectations.

    The Japanese yen trimmed gains after Bank of Japan Governor Haruhiko Kuroda pledged to provide sufficient liquidity. Haven assets initially strengthened on news that US measures to battle the corona virus outbreak were disappointing.
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Cate Camerota
Cate Camerota

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