| 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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