FX Vol Notebook - Cable Gamma is Cheap at 7.55%

1M cable volatility has 7 vols of upside to the one-year 90th percentile realized volatility and just half a vol of risk to 10th percentile realized. 

1M cable volatility has 7 vols of upside to the one-year 90th percentile realized volatility and just half a vol of risk to 10th percentile realized. 

1M ATM vol is trading below 85% of 1M daily realized realized volatility observations and at just 0.8x 2W daily realized volatility. 

1M ATM vol is trading below 85% of 1M daily realized realized volatility observations and at just 0.8x 2W daily realized volatility. 

Long 1M GBPUSD volatility has paid out 0.54 vols at its most recent expiration, 2.95 vols at week ago expiration and 0.20 vol on average over the last three months. 

Long 1M GBPUSD volatility has paid out 0.54 vols at its most recent expiration, 2.95 vols at week ago expiration and 0.20 vol on average over the last three months. 

Current 1M ATM vol at 7.55% is cheap against 2W realized, 1M realized and EWMA vol, all of which are up close to 10%. 

Current 1M ATM vol at 7.55% is cheap against 2W realized, 1M realized and EWMA vol, all of which are up close to 10%. 

See our Daily 1M Long Gamma Monitor for G10 FX.

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