FX Volatility

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.