Volatility continues to remain bid
Markets continue to remain jittery with equities in the red and volatility continuing to be well bid, in part stemming from more tapering talk from Fed officials (Fisher and George) yesterday. In FX, this has seen the AUD and NZD continue to under perform, with JPY outperforming. Data and events in the Asian and European sessions have done little to provide any sense of calm; Abe’s announced third arrow of his economic plan disappointed markets with its lack of specifics (more below) while Chinese, Australia and eurozone Services PMI were softer. The exception is GBP which is well supported following the release of stronger UK services PMI, which has seen EURGBP test below 0.8500. Comments from Fed officials on tapering continue to impart volatility to financial markets; AUDUSD 1m implied volatility is now a full percentage point higher from yesterday up to 12.70% (highest since mid-June) tracking (but still lagging behind) the move higher in volatility in US treasuries.
Read the full report: FX Daily
BNP Paribas