G10 FX Vol Values | ||||||
This table shows select G10 FX at-the-money forward implied vols that are exceptionally rich or exceptionally cheap relative to historical volatility. | ||||||
Currency | Implied | Realised | Risk | |||
Pair | Expiry | Vol (%) | Vol (%) | Premium | 1w Var | 1m Var |
EUR/CHF | 2Y | 4.4 | 7 | 0.6 | 2.10% | 4.60% |
AUD/USD | 2Y | 14.5 | 22.2 | 0.7 | -4.20% | -10.50% |
EUR/SEK | 2Y | 7.5 | 11.3 | 0.7 | -4.10% | -17.30% |
EUR/NOK | 2Y | 7.3 | 10.8 | 0.7 | -2.10% | -10.50% |
EUR/SEK | 1Y | 7.8 | 10.3 | 0.8 | -2.60% | -6.70% |
NZD/USD | 2Y | 15.7 | 20.8 | 0.8 | -1.80% | -6.60% |
USD/NOK | 2Y | 14.6 | 18.8 | 0.8 | 0.30% | -7.20% |
USD/SEK | 2Y | 15.1 | 19.4 | 0.8 | 0.10% | -4.40% |
USD/SEK | 1m | 12.8 | 9.1 | 1.4 |