Implied volatility in some major currency pairs has fallen below realized volatility. The dollar-yen 6-month realized versus implied spread was the widest in four years on Sept. 26. Bloomberg tools can help estimate fair value for USDJPY implied volatility using the correlation between EURUSD and EURJPY.
You may find the case study document under the function FFM on your Bloomberg terminals.
Comments are closed, but trackbacks and pingbacks are open.