JPMorgan: The anomaly is that FX has remained relatively placid
FX carry has navigated the risk washout fairly well, with the odd EM exception (e.g. MXN); various flavors of our systematic cany strategies have delivered ~ -1% over the past week but are still materially up (1%+) MTD. EUR/USD as well as European haven FX (e.g. EUR/CTIF) have remained oddly calm amidst widening OAT - Bund spreads, and JPY TWI is net weaker MTD despite the yen’s late week rally. EM FX risk appetite is still far from plumbing typical stress extremes, equity sensitive asset currencies in APAC such as AUD and KRW have remained resilient, and USD/CNY has ground towards new YTD lows even as the fixing downtrend has decelerated. FX vols have ticked higher, but remain sharply disconnected from the far greater urgency baked into rate vol. On the whole, FX appears to have missed the broad risk-off memo permeating other assets.