Vol Is Too Cheap

Identifying attractive G10 FX volatility plays.

G10 FX implied volatility is near multi-year lows, with the JPM G10 FX Volatility Index hovering around 5.87% on a one-month basis, close to its lowest levels since 2024. There are several structural and macro forces converging to suppress vol, but opportunities for both hedging and speculating on both sides are becoming apparent.

We believe that, given the uncertain macro environment and the risk events on the calendar for Q3, it’s a good time for us to add vol-driven structures to the portfolio to help generate direction-agnostic profit from some G10 pairs.