Mexican Peso Volatility Soars as Traders Fear Additional Losses
- Implied volatility rises to the highest level in nine months
- Risk reversal reaches 4.1%, signaling demand for USD calls
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Mexican traders rushed to seek protection in currency options after the overwhelming victory of the ruling party Morena on Sunday. Implied peso volatility soared to the highest level since October.
Demand for options pushed the one-month gauge to over 16%, up from 9.2% less than a week ago. The Mexican peso now has the highest implied volatility among 16 main currencies and the second highest among all 31 major currencies tracked by Bloomberg, trailing only the Russian ruble.