FX Daily: Markets Reluctant to Price in More JPY Interventions

FX volatility remains exceptionally low globally while USD/JPY tests 160, signaling potential underpricing of intervention risk. Meanwhile, rising Eurozone inflation and steady Polish rates keep regional focus on central bank hawkishness.

Key Takeaways

• 1.Market participants are underestimating the risk of Japanese FX intervention as USD/JPY approaches the 160 mark, despite very low implied volatility.
• 2.Global FX volatility is exceptionally low, with the CVIX index falling below 6.0.
• 3.Eurozone inflation data is expected to show a tick up in both headline (3.2%) and core (2.4%) figures, supporting ECB hawkishness.

Table of Contents

• USD: Volatility remains exceptionally low
• EUR: Eurozone core CPI starts creeping up
• JPY: Risk of new interventions a bit underpriced
• PLN: NBP can wait a bit longer
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