The document discusses the divergence between equity and FX implied volatilities ahead of the US presidential election, drawing parallels to the Brexit referendum. It highlights the increase in USDMXN 2M implied volatility and the relatively low pricing of election risk in equity vols. Historical trends in election season volatility are also mentioned.
documents/vol00010-efta01366176-pdf.pdf
{"title":"Market Volatility Bulletin","key_people":["Trump","Clinton"],"document_type":"tabular","document_subtype":"market commentary","reference_numbers":["DB-SDNY-0057692","SDNY_GM_00203876","EFTA01366176"]}