Below is what several pundits call the biggest canary in the coalmine at the moment. JPM emerging market fx volatility (white) has shot up massively and trades with a huge gap versus the JPM developed world vol. Given the moves in various FX crosses this is not a shocker really.
The question will this be contained in the emerging world or will it spill over?
Interesting to note is that while FX volatility between the two spaces have diverged big time recently, equity volatility between the emerging market (VXEEM white) and the developed world (VIX orange) remains trading with approximately the same “constant” gap.
Who will be right or wrong about the future? FX or equities?
Source: charts by Bloomberg
