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.
March 12, 2020
EUR/USD 1.1223 GBP/USD 1.2618 USD/CAD 1.3821 AUD/USD 0.6334 USD/JPY 104.1800 USD/CNH 7.0341 USD/ILS 3.6450 USD/MXN 22.1550 USD/CHF 0.9399 USD/INR 74.2162
USDUS 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.GBPSterling 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.EUREUR/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.CADThe 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.ASIA/PACIFICThe 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.