CBOE Eurocurency volatility index drops to pre-pandemic levels
|According to data source Factset, the Cboe EuroCurrency Volatility Index, which measures the market's expectation of 30-day volatility of the EUR/USD exchange rate, has declined to 6.6 – the lowest since the end of February 2020.
The FX market has gone quiet even though the equity markets and commodities remain volatile.
However, volatility is mean-reverting – a prolonged period of calm or range play often paves the way for a big move in either direction. Besides, the EuroCurrency volatility index is still well above the lows seen early last year.
The EuroCurrency volatility index bottomed out at a decade low of 4.98 on Jan. 31, 2020 and surged to a multi-year high of 9.03 by April as the coronavirus crisis unleashed many uncertainties.
EUR/USD is currently trading near 1.2140, having bounced from 1.1952 to 1.2149 in the five trading days to Feb. 11.
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