Quant Macro Investing

Risk Taking Disciplined

Dollar at crossroads ahead of policy meetings

Was it really the case that the volatility (vol) of bond market displayed some lead time over currency vol?  Can you trade FX vol based on spike of bond vol?

I suppose we are more talking about implied vol (from option market) rather than realized (historic) vol.

 

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From FT

http://www.ft.com/cms/s/0/1189af0a-c7e0-11de-8ba8-00144feab49a.html

 

(FT) … Hans Redeker, at BNP Paribas, says understanding this mechanism is important for trading the currency markets successfully.

“The source of rising currency volatility is in bond markets and the related assessment of long-term inflation risk,” he says.

November 3, 2009 - Posted by | Case Study

1 Comment »

  1. I think it would be a disaster if the Fed is going to change to a tighter monetary policy (or even signals that). Don’t forget that the confidence of the market is so weak now. Any move will certainly cause a big reaction from the market.

    Comment by Andy | November 7, 2009 | Reply


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