Foreign Exchange Volatility Spiked in October
November 1, 2008
Key currency pairings during October traded in some of the widest high-low ranges for any month. The dollar in fact traded more widely last month against the yen and sterling than it did in either full-2007 or full-2006. High-low ranges for the U.S. dollar against the Mexican peso and Australian dollar exceeded 30%. EUR/JPY fluctuated between 150.59 and 113.64, a 32.5% wing span. The Swiss franc, by contrast, was an oasis of stability, with high-low spreads of 5.6% against the dollar and 10.6% against the euro. Selected dollar high-low widths in October are contrasted below with the ranges in August and September, full-2007, and January-October of 2008.
$ vs | October | September | August | Jan-Oct | 2007 |
Euro | 15.0% | 7.1% | 7.3% | 30.1% | 16.3% |
Yen | 17.1% | 5.5% | 3.1% | 23.3% | 15.8% |
Swiss | 5.6% | 6.8% | 6.2% | 22.0% | 15.4% |
Stg | 17.1% | 7.0% | 8.9% | 33.6% | 10.3% |
A$ | 33.4% | 10.0% | 10.9% | 63.9% | 22.4% |
C$ | 23.4% | 5.1% | 4.9% | 34.1% | 30.4% |
NZ$ | 26.8% | 8/8% | 7.5% | 53.2% | 53.2% |
Tags: Dollar