Fx Vol Collapses: Rbc Capital



The collapse of FX vol that is underway with Yellen and Greece behind us, according to RBC Capital Research. The ECB's Global Hazard Index, at 9.95, is down more than 3 vols from Friday's close and at its lowest level since early-November. With vol and spreads in other asset classes already low, this has caused our overall Risk Aversion Thermometer to fall to almost one standard deviation risk seeking (-7.3) and its lowest level since last May. This is a positive background for riskier and higher-yielding currencies

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