LONDON, Nov 22 (Reuters) – If you were looking for a klaxon to mark the end of the interest rate cycle, a crushing of currency market volatility rings loudly.
Deutsche Bank’s CVIX (.DBCVIX) – the currency market’s version of Wall St’s “fear index” of stock volatility and a weighted average of implied “vol” in nine major pairings – has basically imploded.
Subdued since mid-year, the CVIX took another sharp leg lower this month and hit its lowest since mid-February 2022 – just before Russia’s invasion of Ukraine and the first of the U.S. Federal Reserve’s severe five-percentage-point-plus rate rise campaign that March.
The index – where the dominant weightings of 3-month implied vol in euro/dollar and dollar/yen exchange rates account for more than 50% – is now exactly half the peaks of September last year and some 1.5 points below its historic average.
On the face of it the subsidence of…
