JP Morgan's FX volatility index – a measure of expected volatility in the future based on options prices – has dropped to a record low of 5.21, as noted by Jeroen Blokland, Portfolio Manager for the Robeco Multi-Asset funds, Robeco ONE and Robeco Pension Return Portfolio.
Past FX volatility slumps have preceded big moves in the US dollar.
For instance, over the last 25 years, there have been three troughs in the JPMorgan Global FX Volatility Index and each time the dollar index moved by more than 10 percent in the preceding six months, according to Bloomberg.
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