BNP Paribas

Global Outlook 2026: In a Good Place

LIVE27 November 2025USD bearish

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FX Volatility

Name: Investment Bank FX Research Directory
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BNP Paribas volatility outlook, carry-to-vol analysis, and event risk

Overview

No volatility overview published in the latest BNP note.

Carry-to-vol screen · event-risk premiums · theme breakdowns

Vol surfaces across G10 are pricing benign realised through Q1 even as front-end skew rebuilds. The VXY-G7 sits near multi-year lows, but tails are richening into the March FOMC and the European elections window. Carry-to-vol screens favour LatAm high-beta where real-rate cushions compress downside delta; Asian high-carry remains crowded with deteriorating Sharpe. Event-risk premiums in EUR crosses are building selectively — peripheral CDS basis and ECB-vs-Fed terminal-rate uncertainty are the dominant drivers, with cross-currency basis still well-contained.

Pair	Carry	Implied Vol	Ratio	Quality
USD/MXN	+8.20%	10.4%	0.79	Attractive
USD/BRL	+9.10%	12.8%	0.71	Attractive
USD/INR	+5.40%	5.2%	1.04	Attractive
USD/ZAR	+6.80%	13.6%	0.50	Neutral
EUR/USD	-1.60%	6.9%	-0.23	Neutral
USD/JPY	+3.40%	9.8%	0.35	Neutral
USD/TRY	+24.50%	18.4%	1.33	Stretched
AUD/JPY	+1.10%	11.2%	0.10	Stretched

8 carry pairs · 4 FXO themes · 6 event risks

0 carry pairs · 0 FXO themes · 0 tracked events behind the gate.

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