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Foreign Exchange

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

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