Volatility at short-term equilibrium
PARIS - Currency market volatility might have settled into a new short-term equilibrium at higher levels than before the Lehman Brothers collapse, according to Société Générale Corporate and Investment Bank (SGCIB).
The bank's analysis of G-4 three-month options revealed volatilities have range trended between 13% and 14% since March - 40% higher than the average 10% seen between January and August last year.
"The fact G-4 average three-month vols have been range trending since the end of March
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