FX Derivatives: Nobody Puts EUR In The Corner

This note from J.P. Morgan's Global Markets Strategy team covers FX derivatives. This week's risk-off move was primarily a rates event, with the largest repricing in rates volatility and FX EM registering the next largest adjustment across implied vol and risk reversals. FX implied volatility remains low in absolute terms but is no longer cheap versus other asset classes, now screening closer to the middle of the cross-asset volatility spectrum. EUR has been one of the worst-performing G10 currencies this year, down 2.4% YTD;