The selloff in the Mexican peso following the extreme volatility seen in global yield markets amid the collapse of Silicon Valley Bank has sent traders rushing to seek protection. The currency’s one-month implied volatility climbed to 16.79%, from 13.79% on Friday. Increase in volatility — which is now the highest in two years as the gamma provided by short-term options serves as a buffer against such wild swings — reduces the attractiveness of Mexico’s carry trade, which has been one of the ma
(Bloomberg) — The selloff in the Mexican peso following the extreme volatility seen in global yield markets amid the collapse of Silicon Valley Bank has sent traders rushing to seek protection. The currency’s one-month implied volatility climbed to 16.79%, from 13.79% on Friday. Increase in volatility — which is now the highest in two years as the gamma provided by short-term options serves as a buffer against such wild swings — reduces the attractiveness of Mexico’s carry trade, which has been one of the main factors driving its gains in 2023.
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