Friday, March 12, 2010

G10 FX Vol Values

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	17.80%	17.30%
EUR/USD	6m	11.9	8.4	1.4	-0.50%	-6.50%
GBP/CHF	3m	11.1	7.8	1.4	1.00%	8.60%
USD/CHF	5Y	16.8	11.2	1.5	58.60%	54.50%
GBP/USD	3m	13.6	8.4	1.6	1.10%	12.70%
EUR/CHF	3m	4	2.4	1.7	5.60%	-7.50%
EUR/CHF	6m	4.3	2.3	1.8	4.40%	5.20%
EUR/CHF	1m	3.9	1.1	3.6	118.90%	73.80%
Source: Société Générale Cross Asset Research

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