Olga Cotata, Wall Street Journal, has a nice piece on the low vol currency markets, here…
“And there are signs that the window is closing to make money betting it will remain low. That can be seen in the narrowing gap between actual current volatility in the cash market for currencies, known as realized volatility, and future implied volatility, which is gauged by the cost of hedging in the derivatives market.
“The risk reward of being excessively short volatility is nil,” said Mr. Benson of Millennium Global, which has $18.5 billion of assets under management invested primarily in currency markets. Mr. Benson said he avoids being short volatility.”
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