G10 implied volatility hovers at extreme lows
G10 implied volatility is near its lowest level since the Swiss National Bank (SNB) removed the EUR/CHF floor on January 15, and it is barely above levels seen in the run-up to the SNB event, leading strategists to suggest investors are expecting a quiet summer.
"We think what has happened is that the threat of an immediate rupture has dropped out of asset market pricing, hence the sharp drop in volatility. What is not getting priced in is the rising risk that we see a renewed dollar upward
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