Most-Volatile February for Currencies in Six Years Hints at More
- Implied three-month yen volatility higher than sterling rate
- Japanese currency is best performer in 2016 amid risk aversion
Implications of Japan’s Negative Rate Policy
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Currency traders are enduring the most-volatile February in six years, and implied price swings suggest more fluctuations ahead.
Realized three-month volatility for the yen has risen to 10.5 percent, the highest since March, and a measure of future volatility is approaching the highest since 2013. For the British pound, historic volatility has shot up to 9 percent and implied fluctuations are nearing 12 percent, the highest in almost a year.